ECD {TRES} | R Documentation |
Estimate the envelope subspace with specified dimension based on ECD algorithm proposed by Cook, R. D., & Zhang, X. (2018).
ECD(M, U, u, ...)
M |
The |
U |
The |
u |
An integer between 0 and |
... |
Additional user-defined arguments:
The default values are: |
Estimate M
-envelope of span(U)
. The dimension of the envelope is u
.
See FGfun
for the generic objective function.
The ECD algorithm is similar to 1D algorithm proposed by Cook, R. D., & Zhang, X. (2016). A fast and stable algorithm is used for solving each individual objective function.
Return the orthogonal basis of the envelope subspace with each column represent the sequential direction. For example, the first column is the most informative direction.
Cook, R.D. and Zhang, X., 2018. Fast envelope algorithms. Statistica Sinica, 28(3), pp.1179-1197.
##simulate two matrices M and U with an envelope structure#
data <- MenvU_sim(p = 20, u = 5, wishart = TRUE, n = 200)
M <- data$M
U <- data$U
G <- data$Gamma
Gamma_ECD <- ECD(M, U, u=5)
subspace(Gamma_ECD, G)