computeS {cvCovEst} | R Documentation |
Estimate S of Spiked Covariance Matrix Estimator
Description
computeS()
computes the s(ell) value described in
Donoho et al. (2018).
Usage
computeS(c_donoho)
Arguments
c_donoho |
A |
Value
A numeric
vector.
References
Donoho D, Gavish M, Johnstone I (2018). “Optimal shrinkage of eigenvalues in the spiked covariance model.” The Annals of Statistics, 46(4), 1742 – 1778.
[Package cvCovEst version 1.2.2 Index]