[R] a correlation matrix subset where the subset avg. is a maximum

From: Ryan Austin <austin_at_botany.utoronto.ca>
Date: Fri 13 Oct 2006 - 17:17:38 GMT


Hello R group,

Given a correlation matrix, I would like to obtain the best subset of pairs in the matrix of some size > n such that the mean of r for that subset is a maximum compared to any other possible subset of size > n. I've been looking at the deal and subselect packages but they don't seem to do what I need. Does anyone have any suggestions?

Thanks in advance,
Ryan



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