Fraction of Variance Explained — fraction_variance_explained • msPCA

Computes the fraction of variance explained (variance explained normalized by the trace of the covariance/correlation matrix) by a set of PCs.

Usage

fraction_variance_explained(C, U)

Arguments

C: A matrix. The correlation or covariance matrix (p x p).
U: A matrix. The matrix containing the r PCs (p x r).

Value

A float.

Examples

TestMat <- cor(mtcars)
mspcares <- mspca(TestMat, r = 2, ks = c(4, 4), verbose = FALSE)
fraction_variance_explained(TestMat, mspcares$x_best)
#> [1] 0.6043866