This function minimizes the Extended Bayesian Information Criterion (EBIC; Chen and Chen, 2008) to choose the lvglasso tuning parameter. See lvglasso
EBIClvglasso(S, n, nLatents, gamma = 0.5, nRho = 100, lambda, ...)Sample variance-covariance matrix
Sample Size
Number of latent variables
EBIC hyper-parameter
Number of tuning parameters to test
The lambda argument containing factor loadings, only used for starting values!
Arguments sent to lvglasso
The optimal result of lvglasso, with two more elements:
The selected tuning parameter
The optimal EBIC
Chen, J., & Chen, Z. (2008). Extended Bayesian information criteria for model selection with large model spaces. Biometrika, 95(3), 759-771.