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 numeric vector of scaled estimated eigenvalues.

p

A numeric integer indicating the number of features in the data.

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 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]