gcv {MFPCA} | R Documentation |
Generalized cross-validation for the FCP-TPA algorithm
Description
These function calculates the generalized cross-validation criterion for the
smoothing parameters \alpha_v
or \alpha_w
that are used in the
FCP_TPA
algorithm. As the criterion is symmetric in v
and
w
, this function implements a generic criterion, which is called by
findAlphaVopt
, findAlphaWopt
with the correct values.
Usage
gcv(alpha, n, z, eta, lambda)
Arguments
alpha |
The current value of the smoothing parameter. |
n |
The length of the dimension, for which the smoothing parameter is to be optimized. |
z |
A vector of length |
eta |
A vector of length |
lambda |
A vector of length |
Details
The criterion can be evaluated in a numerically efficient way, adopting the ideas in Huang, Shen and Buja (2008) to three-ways tensors. TODO!
Value
The value of the GCV criterion.
References
G. I. Allen, "Multi-way Functional Principal Components Analysis", IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, 2013.