Build decorrelation constraints

Build a cannot link constraint between highly correlated features. The user defines the correlation threshold.

Usage

buildDecorrConstraints(data, level = 0.5, method = "spearman")

Arguments

data

the dataset in the `UBaymodel` object

level

the threshold correlation-level

method

the method used to compute correlation; must be one of `pearson`, `spearman` or `kendall`

Value

a list containing a matrix `A` and a vector `b` representing the inequality system `Ax<=b`, a vector `rho` and a block matrix