lambdaseq_generate: Internal data-driven lambda sequence generating function.

In mixedCCA: Sparse Canonical Correlation Analysis for High-Dimensional Mixed Data

Internal data-driven lambda sequence generating function.

Description

This internal function generates lambda sequence of length nlamseq equally spaced on a logarithmic scale. Since this is for sparse CCA, it returns a list of two vectors. Each vector will be used for each data set X1 and X2. And w1 and w2 denote canonical vector for each data set.

Usage

lambdaseq_generate(
  nlamseq = 20,
  lam.eps = 0.01,
  Sigma1,
  Sigma2,
  Sigma12,
  w1init = NULL,
  w2init = NULL
)

Arguments

nlamseq	The length of lambda sequence
lam.eps	The smallest value for lambda as a fraction of maximum lambda value
Sigma1	Covariance/correlation matrix of X1 (p1 by p1)
Sigma2	Covariance/correlation matrix of X2 (p2 by p2)
Sigma12	Covariance/correlation matrix between X1 and X2
w1init	Initial value for canonical vector w1
w2init	Initial value for canonical vector w2

Value

lambdaseq_generate returns a list of length 2. Each vector is of the same length nlamseq and will be used for each data set separately.

mixedCCA documentation built on Sept. 10, 2022, 1:06 a.m.