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]