| eigen.decomp {censorSIR} | R Documentation |
carry out the eigenvalue decompsition of m1
eigen.decomp(m1, m2, tol=1e-5)
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 |
values |
the eigen values of eigen decomposition |
vectors |
the eigen vectors of eigen decomposition |
singlar data matrix(not m1 or m2) is not recommended, though it can be handled
Wei Sun sunwei@stat.ucla.edu
Ker-chau Li, Jane-ling Wang and Chun-Hou Chen (1999) Dimension reduction for censored regression data. The Annals of Statistics 27, 1-23.
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);