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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.
Package details |
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Author | Milana Gataric, Tengyao Wang and Richard J. Samworth |
Maintainer | Milana Gataric <m.gataric@statslab.cam.ac.uk> |
License | GPL-3 |
Version | 0.4 |
URL | https://arxiv.org/abs/1712.05630 |
Package repository | View on CRAN |
Installation |
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