fda: geigen – R documentation

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Documentation

fda

geigen

Generalized eigenanalysis

Description

Find matrices L and M to maximize

tr(L'AM) / sqrt(tr(L'BL) tr(M'CM'))

where A = a p x q matrix, B = p x p symmetric, positive definite matrix, B = q x q symmetric positive definite matrix, L = p x s matrix, and M = q x s matrix, where s = the number of non-zero generalized eigenvalues of A.

Usage

geigen(Amat, Bmat, Cmat)

Arguments

`Amat`	a numeric matrix
`Bmat`	a symmetric, positive definite matrix with dimension = number of rows of A
`Cmat`	a symmetric, positive definite matrix with dimension = number of columns of A

Value

list(values, Lmat, Mmat)

Examples

A <- matrix(1:6, 2)
B <- matrix(c(2, 1, 1, 2), 2)
C <- diag(1:3)
ABC <- geigen(A, B, C)

fda

Functional Data Analysis

v5.1.9

GPL (>= 2)

Authors

J. O. Ramsay <ramsay@psych.mcgill.ca> [aut,cre], Spencer Graves <spencer.graves@effectivedefense.org> [ctb], Giles Hooker <gjh27@cornell.edu> [ctb]

Initial release

2020-12-16