scaleEigVals: Extract Estimated Scaled Eigenvalues in Spiked Covariance...

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Extract Estimated Scaled Eigenvalues in Spiked Covariance Matrix Model

Description

scaleEigVals() computes the scaled eigenvalues, and filters out all eigenvalues that do not need to be shrunk.

Usage

scaleEigVals(eig_vals, noise, p_n_ratio, num_spikes)

Arguments

eig_vals	A numeric vector of estimated eigenvalues.
noise	numeric representing the known scalar multiple of the identity matrix giving the approximate population covariance matrix.
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.
num_spikes	numeric integer equal to or larger than one which providing the known number of spikes in the population covariance matrix. If set to NULL, the number of spikes is estimated.

Value

A numeric vector of the scaled eigenvalues to be shrunk.

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