Compute Principal Hessian Directions
Usage
compute_phd(X, y, Sigma = NULL, eps = 1e-08)
Arguments
- X
Numeric predictor matrix.
- y
Numeric response vector.
- Sigma
Covariance matrix used for standardisation.
- eps
Eigenvalue floor.
Value
A list containing pHd kernel, eigenvalues, directions, scores.
Examples
X <- as.matrix(mtcars[, c("disp", "hp", "wt")])
fit <- compute_phd(X, y = mtcars$mpg)
head(fit$eigenvalues)
#> [1] -3.654174 -1.229633 0.534509