est_up {BlockCov}

Title

Description

Title

Usage

est_up(E, k = 5)

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.

k

the rank of the correlation matrix of E once its diagonal has been removed

Value

an approximation of the correlation matrix of E with its diagonal removed

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))
k <- 5
v_up <- est_up(E, k = k)