[R] Maximally independent variables

[Jacques VESLOT]

library(gtools)
z <- combinations(ncol(DF), 3)
maxcor <- function(x) max(as.vector(as.dist(cor(DF[,x]))))
names(DF)[z[which.min(apply(z, 1, maxcor)),]]


Gabor Grothendieck a écrit :

>Are there any R packages that relate to the
>following data reduction problem fo finding
>maximally independent variables?
>
>Currently what I am doing is solving the following
>minimax problem:  Suppose we want to find the
>three maximally independent variables.  From the
>full n by n correlation matrix, C, of all n variables
>chooose three variables and form their 3 by 3 correlation
>submatrix, C1, finding the offdiagonal entry of C1
>which is largest in absolute value.  Call that z.  Thus for
>each set of 3 variables we can associate such a z.
>Now for each possible set of three variables find the one for
>which its value of z is least.
>
>I only give the above formulation because that is
>what I am doing now but I would be happy to
>consider other different formulations.
>
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