greedy: Factor Loading Adaptive Shrinkage (K factors version)

In NKweiwang/flash: Title Case

Description

flash provide rank K matrix decomposition with greedy algorithm

Usage

greedy(Y, K)

Arguments

Y	is the data matrix (N by P)
K	is the max number of factor user want. the output will provide the actual number of factor automaticaly.

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 = greedy(Y,10)

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