Gavish–Donoho-style rank heuristic on whitened singular values

Estimates noise level and selects k by thresholding the singular values s of the whitened matrix at tau = sigma_hat (sqrt(m) + sqrt(n)).

Usage

choose_rank_gd(W)

Arguments

W

Whitened matrix (T x V) or any numeric matrix.

Value

A list with k, threshold, sigma_hat, and the spectrum s.

See also

choose_rank_pa() for parallel analysis approach, blocked_cv_recon_error() for cross-validation approach

Other rank selection: blocked_cv_recon_error(), choose_rank_pa()

Examples

# \donttest{
set.seed(1)
W <- matrix(rnorm(200), nrow = 20, ncol = 10)
gd <- choose_rank_gd(W)
# }