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 numeric vector of estimated eigenvalues.

p_n_ratio

A numeric indicating the asymptotic ratio of the number of features, p, and the number of observations, n. This ratio is assumed to be between 0 and 1.

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]