sparseEigen

What it is

An R package that computes sparse eigenvectors of a covariance or data matrix, including real and complex entries, which is the usual route to sparse principal component analysis. Callers can request several ordered eigenvectors and set a different sparsity level on each, and a companion routine jointly estimates those eigenvectors together with a covariance. Researchers working on covariance matrices can compare the sparse vectors with a dense eigen-decomposition and follow the vignette for worked examples. The routine implements one published Procrustes method rather than a market-data client, and the joint covariance estimator needs more observations than the matrix dimension unless you regularize elsewhere.