eigen_dec {WH}R Documentation

Eigen Decomposition of Penalization Matrix

Description

Eigen Decomposition of Penalization Matrix

Usage

eigen_dec(n, q, p)

Arguments

n

Number of observations in the problem

q

Order of the penalization matrix

p

Number of eigenvectors to keep

Value

A list with components : - U a matrix whose columns are the eigenvectors of the penalization matrix - s a vector containing the eigenvalues sorted in ascending order


[Package WH version 1.1.2 Index]