compute_fpr_gamma: Compute Adaptive Threshold Cross-Sectional Robust Gamma (FPR...
In FARS: Factor-Augmented Regression Scenarios
View source: R/compute_fpr_gamma.R
compute_fpr_gamma R Documentation
Compute Adaptive Threshold Cross-Sectional Robust Gamma (FPR Gamma)
Description
Computes the cross-sectional robust covariance estimator (gamma) based on the Adaptive Thresholding method proposed by Fresoli, Poncela, and Ruiz (2024).
Usage
compute_fpr_gamma(residuals, loadings)
Arguments
residuals
A T x N matrix of residualsl.
loadings
A N x K matrix of factor loadings.
Value
A K x K matrix representing the FPR-adjusted covariance of the latent factors.
FARS documentation built on Feb. 17, 2026, 5:06 p.m.
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View source: R/compute_fpr_gamma.R
| compute_fpr_gamma | R Documentation |
Compute Adaptive Threshold Cross-Sectional Robust Gamma (FPR Gamma)
Description
Computes the cross-sectional robust covariance estimator (gamma) based on the Adaptive Thresholding method proposed by Fresoli, Poncela, and Ruiz (2024).
Usage
compute_fpr_gamma(residuals, loadings)
Arguments
residuals |
A |
loadings |
A |
Value
A K x K matrix representing the FPR-adjusted covariance of the latent factors.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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