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ScreeNOT  

'ScreeNOT': MSE-Optimal Singular Value Thresholding in Correlated Noise
View on CRAN: Click here


Download and install ScreeNOT package within the R console
Install from CRAN:
install.packages("ScreeNOT")

Install from Github:
library("remotes")
install_github("cran/ScreeNOT")

Install by package version:
library("remotes")
install_version("ScreeNOT", "0.1.0")



Attach the package and use:
library("ScreeNOT")
Maintained by
Elad Romanov
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-02-27
Latest Update: 2023-02-27
Description:
Optimal hard thresholding of singular values. The procedure adaptively estimates the best singular value threshold under unknown noise characteristics. The threshold chosen by 'ScreeNOT' is optimal (asymptotically, in the sense of minimum Frobenius error) under the the so-called "Spiked model" of a low-rank matrix observed in additive noise. In contrast to previous works, the noise is not assumed to be i.i.d. or white; it can have an essentially arbitrary and unknown correlation structure, across either rows, columns or both. 'ScreeNOT' is proposed to practitioners as a mathematically solid alternative to Cattell's ever-popular but vague Scree Plot heuristic from 1966. If you use this package, please cite our paper: David L. Donoho, Matan Gavish and Elad Romanov (2023). "ScreeNOT: Exact MSE-optimal singular value thresholding in correlated noise." Annals of Statistics, 2023 (To appear). .
How to cite:
Elad Romanov (2023). ScreeNOT: 'ScreeNOT': MSE-Optimal Singular Value Thresholding in Correlated Noise. R package version 0.1.0, https://cran.r-project.org/web/packages/ScreeNOT. Accessed 29 Oct. 2026.
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