SOPC: Apply the SOPC method to the Laplace factor model

In LFM: Laplace Factor Model Analysis and Evaluation

Apply the SOPC method to the Laplace factor model

Description

This function calculates various metrics for the sprase online principle component (SOPC) analysis on the Laplace factor model.

Usage

SOPC(data, m, gamma,eta)

Arguments

data	A numeric matrix containing the data used in the SOPC analysis.
m	is the number of principal component
gamma	is a sparse parameter
eta	is the proportion of online data to total data

Value

Aso,Dso

Examples

library(MASS)
library(matrixcalc)
library(LaplacesDemon)
n=1000
p=10
m=5
mu=t(matrix(rep(runif(p,0,1000),n),p,n))
mu0=as.matrix(runif(m,0))
sigma0=diag(runif(m,1))
F=matrix(mvrnorm(n,mu0,sigma0),nrow=n)
A=matrix(runif(p*m,-1,1),nrow=p)
lanor <- rlaplace(n*p,0,1)
epsilon=matrix(lanor,nrow=n)
D=diag(t(epsilon)%*%epsilon)
data=mu+F%*%t(A)+epsilon
results <- SOPC(data, m, gamma=0.03, eta=0.1)
print(results)

LFM documentation built on Dec. 6, 2025, 5:06 p.m.