Nothing
ER_GR <-
function(data)
{
n = nrow(data)
p = ncol(data)
m = min(n, p)
covar = (t(data) %*% data)/(n * p)
eigen_values = eigen(covar)$values
V_0 = sum(eigen_values[1:m])
kmax_star = length(which(eigen_values >= V_0/m))
kmax = min(kmax_star, 0.1 * m)
ER = vector("numeric", kmax - 1)
for(k in 1:(kmax - 1))
{
ER[k] = eigen_values[k]/eigen_values[k+1]
}
k_ER = which.max(ER)
GR = vector("numeric", kmax - 1)
for(k in 1:(kmax - 1))
{
V_1 = sum(eigen_values[(k+1):m])
u_star_1 = eigen_values[k]/V_1
V_2 = sum(eigen_values[(k+2):m])
u_star_2 = eigen_values[(k+1)]/V_2
GR[k] = log(1 + u_star_1)/log(1 + u_star_2)
}
k_GR = which.max(GR)
return(list(k_ER = k_ER, k_GR = k_GR))
}
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