ddpca

Efficient procedures for fitting the DD-PCA (Ke et al., 2019, doi:10.48550/arXiv.1906.00051) by decomposing a large covariance matrix into a low-rank matrix plus a diagonally dominant matrix. The implementation of DD-PCA includes the convex approach using the Alternating Direction Method of Multipliers (ADMM) and the non-convex approach using the iterative projection algorithm. Applications of DD-PCA to large covariance matrix estimation and global multiple testing are also included in this package.

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