backfitting: backfitting for correction K factors model

In NKweiwang/flash: Title Case

Description

correction the factor and loading matrix estimation using backfitting algorithm

Usage

backfitting(Y, Lest, Fest, tautol = 100, numtau = 500)

Arguments

Y	is the data matrix (N by P)
Lest	is estimation for l to correct
Fest	is estimation for f to correct
tautol	this the stop criterion for convergence, number for iteration
numtau	number for iteration in flash rank one.

Details

greedy algorithm on the residual matrix to get a rank one matrix decomposition

Value

list of factor, loading and variance of noise matrix

• l is a K by N matrix for loadings

• f is a K by P matrix for factors

Examples

N = 100
P = 200
Y = matrix(rnorm(N*P,0,1),ncol=P)
g = flash_v_K(Y,10)

NKweiwang/flash documentation built on May 7, 2019, 6:02 p.m.