eigengap.act {sgdGMF} | R Documentation |
Rank selection via adjust correlation thresholding
Description
Select the number of significant principal components of a matrix via adjust correlation threshold (ACT)
Usage
eigengap.act(covmat, nobs, maxcomp = NULL)
Arguments
covmat |
matrix to be decomposed |
nobs |
number of observations used to compute the covariance matrix |
maxcomp |
maximum number of eigenvalues to compute |
References
Fan, J., Guo, j. and Zheng, S. (2020). Estimating number of factors by adjusted eigenvalues thresholding. Journal of the American Statistical Association, 117(538): 852–861
[Package sgdGMF version 1.0.1 Index]