pesel_heterogeneous {pesel}

PEnalized SEmi-integrated Likelihood for heterogeneous singular values and large number of variables

Description

Derived under assumption that number of variables tends to infinity while number of observations is limited.

Usage

pesel_heterogeneous(X, minK, maxK)

Arguments

X

a matrix containing only continuous variables

minK

minimal number of principal components fitted

maxK

maximal number of principal components fitted

Value

numeric vector, PESEL criterion for each k in range [minK, maxK]