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Estimates the values of \(r\) and \(\sigma\) in a model \(X \sim N(0, \sigma^2 (r Q + (1 - r)I))\).
estimateComponents(X, Q, Qeig = NULL)
A list with \(r\) and \(\sigma\).
An \(n \times p\) data matrix.
A \(p \times p\) matrix giving the prior variance on the rows of X.
X
If the eigendecomposition of Q is already computed, it can be included here.
Q
data(AntibioticSmall) estimateComponents(AntibioticSmall$X, AntibioticSmall$Q)
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