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 numeric vector output by computeC().

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]