Description Usage Arguments Value Author(s) References See Also

This is a slightly modified version of Flury's FG algorithm for the joint diagonalization of k positive-definite matrices. The underlying function is written in C.

1 |

`X` |
A matrix of k stacked pxp matrices with dimension c(kp,p) or an array with dimension c(p,p,k). |

`weight` |
A vector of length k to give weight to the different matrices, if NULL, all matrices have equal weight. |

`init` |
Initial value for the orthogonal matrix to be estimated, if NULL, the identity matrix is used. |

`maxiter` |
Maximum number of iterations. |

`eps` |
Convergence tolerance. |

`na.action` |
A function which indicates what should happen when the data contain 'NA's. Default is to fail. |

A list with the components

`V ` |
An orthogonal matrix. |

`D ` |
A stacked matrix with the diagonal matrices or an array with the diagonal matrices. The form of the output depends on the form of the input. |

`iter` |
The Fortran function returns also the number of iterations. |

Jari Miettinen

Flury, B. D. (1998), Common principal components and related models, Wiley, New York.

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