eigengap.onatski {sgdGMF} | R Documentation |
Rank selection via the Onatski method
Description
Select the number of significant principal components of a matrix via the Onatski method
Usage
eigengap.onatski(covmat, maxcomp = 50, maxiter = 100)
Arguments
covmat |
matrix to be decomposed |
maxcomp |
maximum number of eigenvalues to compute |
maxiter |
maximum number of iterations |
References
Onatski, A. (2010). Determining the number of factors from empirical distribution of eigenvalues. Review of Economics and Statistics, 92(4): 1004-1016
[Package sgdGMF version 1.0.1 Index]