LFM (version 0.3.2)

SOPC: Apply the SOPC method to the Laplace factor model

Description

This function calculates various metrics for the sprase online principle component (SOPC) analysis on the Laplace factor model.

Usage

SOPC(data, m, gamma,eta)

Value

Aso,Dso

Arguments

data

A numeric matrix containing the data used in the SOPC analysis.

m

is the number of principal component

gamma

is a sparse parameter

eta

is the proportion of online data to total data

Examples

library(MASS)
library(matrixcalc)
library(LaplacesDemon)
n=1000
p=10
m=5
mu=t(matrix(rep(runif(p,0,1000),n),p,n))
mu0=as.matrix(runif(m,0))
sigma0=diag(runif(m,1))
F=matrix(mvrnorm(n,mu0,sigma0),nrow=n)
A=matrix(runif(p*m,-1,1),nrow=p)
lanor <- rlaplace(n*p,0,1)
epsilon=matrix(lanor,nrow=n)
D=diag(t(epsilon)%*%epsilon)
data=mu+F%*%t(A)+epsilon
results <- SOPC(data, m, gamma=0.03, eta=0.1)
print(results)