mixedCCA (version 1.6.2)

lambdaseq_generate: Internal data-driven lambda sequence generating function.

Description

This internal function generates lambda sequence of length nlamseq equally spaced on a logarithmic scale. Since this is for sparse CCA, it returns a list of two vectors. Each vector will be used for each data set \(X1\) and \(X2\). And \(w1\) and \(w2\) denote canonical vector for each data set.

Usage

lambdaseq_generate(
  nlamseq = 20,
  lam.eps = 0.01,
  Sigma1,
  Sigma2,
  Sigma12,
  w1init = NULL,
  w2init = NULL
)

Value

lambdaseq_generate returns a list of length 2. Each vector is of the same length nlamseq and will be used for each data set separately.

Arguments

nlamseq

The length of lambda sequence

lam.eps

The smallest value for lambda as a fraction of maximum lambda value

Sigma1

Covariance/correlation matrix of \(X1\) (p1 by p1)

Sigma2

Covariance/correlation matrix of \(X2\) (p2 by p2)

Sigma12

Covariance/correlation matrix between \(X1\) and \(X2\)

w1init

Initial value for canonical vector \(w1\)

w2init

Initial value for canonical vector \(w2\)