Build and decompose a low-rank matrix W
Build and decompose a low-rank matrix from a matrix of eigenvectors and eigenvalues from principal component analysis
W.QR(U, lambda)
U |
a matrix of eigenvectors |
lambda |
a vector of corresponding eigenvalues |
W a low-rank matrix
D the number of latent factors
Q the orthogonal matrix of the W = QR matrix decomposition
R the upper triangular matrix of the W = QR matrix decomposition
Gabrielle Weinrott
res <- drbats.simul(N = 5, P = 100, t.range = c(5, 100), breaks = 8) res.pca <- pca.Deville(res$X, res$t.simul, t.range = c(5, 100), breaks = 8) Wres.pca <- W.QR(res.pca$U, res.pca$lambda) Wres.pca
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