updateFAHomVar: Update W and P in EMFA algorithm for homogeneous variance.
Description
Update W and P used in the iteration process in the EMFA algorithm in case
the variance is homogeneous.
Usage
updateFAHomVar(s, wNew, pNew, m, maxDiag = 10000)
Arguments
- s
A p x p sample covariance matrix.
- m
An integer. The order of the model.
- maxDiag
A numerical value for the maximum value of sigma2.