Performs dimension reduction and prewhitening based on probabilistic PCA using SVD. If dimensionality is not specified, it is estimated using the method described in Minka (2008).
dim_reduce(X, Q = NULL, Q_max = 100)A list containing the dimension-reduced data (data_reduced, a
\(V \times Q\) matrix), prewhitening/dimension reduction matrix (H,
a \(QxT\) matrix) and its (pseudo-)inverse (Hinv, a \(TxQ\)
matrix), the noise variance (sigma_sq), the correlation matrix of the
dimension-reduced data (C_diag, a \(QxQ\) matrix), and the
dimensionality (Q).
A numeric matrix, with each column being a centered timeseries.
For fMRI data, X should be T timepoints by V brain
locations.
Number of latent dimensions to estimate. If NULL (default),
estimated using PESEL (Sobczyka et al. 2020).
Maximal number of principal components for automatic
dimensionality selection with PESEL. Default: 100.