CRAN/E | ScreeNOT

ScreeNOT

'ScreeNOT'

Installation

About

Optimal hard thresholding of singular values. The procedure adaptively estimates the best singular value threshold under unknown noise characteristics. The threshold chosen by 'ScreeNOT' is optimal (asymptotically, in the sense of minimum Frobenius error) under the the so-called "Spiked model" of a low-rank matrix observed in additive noise. In contrast to previous works, the noise is not assumed to be i.i.d. or white; it can have an essentially arbitrary and unknown correlation structure, across either rows, columns or both. 'ScreeNOT' is proposed to practitioners as a mathematically solid alternative to Cattell's ever-popular but vague Scree Plot heuristic from 1966. If you use this package, please cite our paper: David L. Donoho, Matan Gavish and Elad Romanov (2023). "ScreeNOT: Exact MSE-optimal singular value thresholding in correlated noise." Annals of Statistics, 2023 (To appear). .

Key Metrics

Version 0.1.0
Published 2023-02-27 274 days ago
Needs compilation? no
License MIT
License File
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Maintainer

Maintainer

Elad Romanov

elad.romanov@gmail.com

Authors

Elad Romanov

aut / cre

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-develnot available

x86_64

r-releasenot available

x86_64

r-oldrelnot available

x86_64