undoShrinkage re-estimates the component loading matrix (P) while keeping the 0 loadings fixed
so as to remove the shrinkage due to Lasso and Group Lasso.
undoShrinkage(DATA, R, Phat, MAXITER)The concatenated data block, with rows representing subjects
The number of components.
The estimated component loading matrix by means of, for example, sparseSCA().
The maximum rounds of iterations. It should be a positive integer. The default value is 400.
The re-estimated component loading matrix after the shrinkage has been removed.
The corresponding estimated component score matrix.
A vector of loss.
Gu, Z., & Van Deun, K. (2016). A variable selection method for simultaneous component based data integration. Chemometrics and Intelligent Laboratory Systems, 158, 187-199.