find_good_alpha: On Affine Equivariant Multivariate Quantiles
Description
This function returns the transformation matrix X(a), see Chakraborty, B. (2001).
Usage
find_good_alpha(X, eps = 0.025)
Arguments
X
must be a (n,2) matrix.
eps
stopping criterion.
Value
a list with a the selected rows of the data, X is the X(a) matrix, X_reduced is the data matrix X without the selected columns.
References
Chakraborty, B. (2001). On affine equivariant multivariate quantiles.
Annals of the Institute of Statistical Mathematics, 53, 380--403. <https://doi.org/10.1023/A:1012478908041>.