Description Usage Arguments Value References Examples
View source: R/passemier2017.R
The function returns the choice for PCA as a by-product of the bias-corrected residual variance estimate.
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lambda |
a numeric vector of sample eigenvalues of length $n$. |
M |
the number of observations. |
tau |
a tolerance threshold for the smallest eigenvalue, the default value is 0.001. |
constant |
a small prefixed constant and set to the recommended value of 0.05. See Passemier et al., (2017) for details. |
an integer K
Passemier, D., Li, Z., & Yao, J. (2017). On estimation of the noise variance in high dimensional probabilistic principal component analysis. **Journal of the Royal Statistical Society: Series B (Statistical Methodology)**, *79*(1), 51-67. <doi:10.1111/rssb.12153>
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