eigengap.evr {sgdGMF}R Documentation

Rank selection via eigenvalue ratio maximization

Description

Select the number of significant principal components of a matrix via the eigenvalue ratio (EVR) maximization method

Usage

eigengap.evr(covmat, maxcomp = 50, thr = 0.95)

Arguments

covmat

matrix to be decomposed

maxcomp

maximum number of eigenvalues to compute

References

Ahn, S.C., Horenstein, A.R. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81, 1203-1227


[Package sgdGMF version 1.0.1 Index]