find_w12bic | R Documentation |
Internal mixedCCA function finding w1 and w2 given R1, R2 and R12
find_w12bic( n, R1, R2, R12, lamseq1, lamseq2, w1init, w2init, BICtype, maxiter = 100, tol = 0.01, trace = FALSE, lassoverbose = FALSE )
n |
Sample size |
R1 |
Correlation matrix of dataset |
R2 |
Correlation matrix of dataset |
R12 |
Correlation matrix between the dataset |
lamseq1 |
A sequence of lambda values for the datasets |
lamseq2 |
A sequence of lambda values for the datasets |
w1init |
An initial vector of length p1 for canonical direction w1. |
w2init |
An initial vector of length p1 for canonical direction w2. |
BICtype |
Either 1 or 2: For more details for two options, see the reference. |
maxiter |
The maximum number of iterations allowed. |
tol |
The desired accuracy (convergence tolerance). |
trace |
If |
lassoverbose |
If |
find_w12bic
returns a data.frame containing
w1: estimated canonical direction w1.
w2: estimated canonical direction w2.
w1trace: a matrix, of which column is the estimated canonical direction w1 at each iteration. The number of columns is the number of iteration until the convergence.
w2trace: a matrix, of which column is the estimated canonical direction w2 at each iteration. The number of columns is the number of iteration until the convergence.
lam1.iter: For each iteration, what lambda value is selected for w1 is stored.
lam2.iter: For each iteration, what lambda value is selected for w2 is stored.
obj: objective function value without penalty: w1^T * R12 * w2. If lamseq1 and lamseq2 are scalar, then original objective function including penalty part will be used.
Yoon G., Carroll R.J. and Gaynanova I. (2020) "Sparse semiparametric canonical correlation analysis for data of mixed types" <doi:10.1093/biomet/asaa007>.
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