estimateNoise: Estimate Noise in Spiked Covariance Matrix Model

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Estimate Noise in Spiked Covariance Matrix Model

Description

estimateNoise() estimates the unknown noise term in a Gaussian spiked covariance matrix model, where the covariance matrix is assumed to be the identity matrix multiplied by the unknown noise, save for a few "spiked" entries. This procedures is described in \insertCitedonoho2018;textualcvCovEst.

Usage

estimateNoise(eig_vals, p_n_ratio)

Arguments

eig_vals	A numeric vector of estimated eigenvalues.
p_n_ratio	A numeric indicating the asymptotic ratio of the number of features, p, and the number of observations, n. This ratio is assumed to be between 0 and 1.

Value

A numeric estimate of the noise term in a spiked covariance matrix model.

References

\insertAllCited

cvCovEst documentation built on May 29, 2024, 5:51 a.m.