SPCAvRP: Sparse Principal Component Analysis via Random Projections (SPCAvRP)

Implements the SPCAvRP algorithm, developed and analysed in "Sparse principal component analysis via random projections" Gataric, M., Wang, T. and Samworth, R. J. (2018) <arXiv:1712.05630>. The algorithm is based on the aggregation of eigenvector information from carefully-selected random projections of the sample covariance matrix.

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Package details

AuthorMilana Gataric, Tengyao Wang and Richard J. Samworth
MaintainerMilana Gataric <m.gataric@statslab.cam.ac.uk>
URL https://arxiv.org/abs/1712.05630
Package repositoryView on CRAN
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SPCAvRP documentation built on May 6, 2019, 1:04 a.m.