flash_r1: Factor Loading Adaptive Shrinkage (VEM version)

In kkdey/flashr: Factor Loading Adaptive SHrinkage in R

Description

flash provide rank one matrix decomposition

Usage

flash_r1(Y, tol = 1e-06, maxiter_r1 = 500)

Arguments

Y	is the data matrix (N by P)
tol	which is the stop criterion for the convergence, default is 1e-5
maxiter_r1	number of iteration, default is 500. for the backfitting case, the number of tau should be 5 or 10.

Details

flash_r1 privide rank one matrix decomposition with variational EM algorithm.

Value

list of factor, loading and variance of noise matrix

• l is a N vector for loadings

• f is a P vector for factors

• sigmae2 is mean of sigma square which is estimation for the noise variance

Examples

N = 100
P = 200
Y = matrix(rnorm(N*P,0,1),ncol=P)
g = flash_r1(Y)

kkdey/flashr documentation built on May 20, 2019, 10:36 a.m.