estimateNoise {cvCovEst} | R Documentation |
Estimate Noise in Spiked Covariance Matrix Model
Description
estimateNoise()
estimates the unknown noise term in a
Gaussian spiked covariance matrix model, where the covariance matrix is
assumed to be the identity matrix multiplied by the unknown noise, save for
a few "spiked" entries. This procedures is described in
Donoho et al. (2018).
Usage
estimateNoise(eig_vals, p_n_ratio)
Arguments
eig_vals |
A |
p_n_ratio |
A |
Value
A numeric
estimate of the noise term in a spiked covariance
matrix model.
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]