envMU: Estimate the envelope subspace

In therimalaya/envelope: Computing Envelope Estimators in Multivariate Linear Regression

Description

Estimate the envelope subspace with specified dimension.

Usage

envMU(M, U, u)

Arguments

M	M matrix in the envelope objective function. An r by r semi-positive definite matrix.
U	U matrix in the envelope objective function. An r by r semi-positive definite matrix.
u	Dimension of the envelope. An integer between 0 and r.

Details

This function estimate the envelope subspace using an non-Grassmann optimization algorithm. The starting value and optimization algorithm is described in Cook et al. (2015).

Value

Gammahat	The orthogonal basis of the envelope subspace.
Gamma0hat	The orthogonal basis of the complement of the envelope subspace.
objfun	The minimized objective function.

References

Cook, R. D., Forzani, L. and Su, Z. (2015) Algorithms for Envelope Estimation II. Manuscript.

therimalaya/envelope documentation built on May 29, 2019, 1:38 p.m.