fastCorrDiff (version 0.5)

CaiSpectral: Spectral project algorithm of Cai et al (2017).

Description

Spectral projection algorithm of Cai et al (2017), which is based on the rank 1 spectral structure.

Usage

CaiSpectral(D)

Arguments

D

The differential correlation matrix

Value

The spectral scores. It is recommened in the paper to use any two-class clustering algorithm to separate the variables.

Details

See the reference

References

T. T. Cai, T. Liang, A. Rakhlin, et al. Computational and statistical boundaries for submatrix localization in a large noisy matrix. The Annals of Statistics, 45(4):1403-1430, 2017.

See Also

fast.SS

Examples

# NOT RUN {
X1 <- matrix(rnorm(200),10,20)
C1 <- cor(X1)
X2 <- matrix(rnorm(200),10,20)
C2 <- cor(X2)

D <- C1-C2

fit <- CaiSpectral(D)

fit

# }