[R] covariance = diagonal + F'F

[Vadim Ogranovich]

Dear R-Helpers,

I have a n*m data matrix (n is the number of observations) and I want to
estimate its covariance matrix as a sum of a diagonal matrix and a low-rank
matrix F'F, where F is p*m matrix (sometimes called "factors"), p<<m, and F'
is F transpose.

My questions are:
1. Given the number of factors p is there an R function that finds the best
F?
2. How to select the "best" p?

Somehow I feel like this was already discussed on the list (but I couldn't
find it in the archives). If this is the case what was the subject of that
thread?

Thanks,
Vadim

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