eigen.decomp {censorSIR}R Documentation

eigenvalue decompsition of one matrix with respect to the other matrix

Description

carry out the eigenvalue decompsition of m1

Usage

eigen.decomp(m1, m2, tol=1e-5)

Arguments

m1 left-side matrix, should be real symmetric positive-definite
m2 right-side matrix, should be real symmetric positive-definite
tol diagonal value smaller than tol will not be inversed

Details

Value

values the eigen values of eigen decomposition
vectors the eigen vectors of eigen decomposition

Note

singlar data matrix(not m1 or m2) is not recommended, though it can be handled

Author(s)

Wei Sun sunwei@stat.ucla.edu

References

Ker-chau Li, Jane-ling Wang and Chun-Hou Chen (1999) Dimension reduction for censored regression data. The Annals of Statistics 27, 1-23.

See Also

cen.sir double.slice

Examples

x = matrix(rnorm(40), nrow=10, ncol=4);
y = matrix(rnorm(40), nrow=10, ncol=4);
m1 = cov(x);
m2 = cov(y);
e  = eigen.decomp(m1, m2);

[Package censorSIR version 1.0 Index]