mosaicperm.statistics.approximate_sparse_pcas

mosaicperm.statistics.approximate_sparse_pcas(Sigma: array, quantiles: array | None = array([0., 0.01, 0.03, 0.05, 0.1, 0.2, 0.3, 1.])) → array

Performs approximate sparse pca.

Parameters:

Sigmanp.array

p x p covariance matrix.

quantilesnp.array

Array of quantiles between zero and one.

Returns:

evecslist of np.arrays

evecs[i] is a p-length approximate sparse eigenvector with np.round(quantiles[i] * p) nonzero entries.