PA function

Title

PA(E, times = 10)

Arguments

• E: the observation matrix such that each of its row has a block structure correlation matrix Sigma wich has a low rank once its diagonal is removed.
• times: number of random sampling

Returns

the mean of the eigen values of the times sampled matrix

Examples

n <- 30
q <- 100
Sigma <- Simu_Sigma(q = q, diag = FALSE, equal = TRUE)
Matrix::image(Sigma)
E <- matrix(rnorm(n * q), ncol = q) %*% chol(as.matrix(Sigma))
random_eigen <- PA(E, times = 10)