computeEll {cvCovEst} | R Documentation |
Estimate Ell of Spiked Covariance Matrix Estimator
Description
computeEll()
computes the ell value described in
Donoho et al. (2018).
Usage
computeEll(scaled_eig_vals, p, p_n_ratio)
Arguments
scaled_eig_vals |
A |
p |
A |
p_n_ratio |
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]