FA: Factor Analysis

In GrFA: Group Factor Analysis

Factor Analysis

Description

Performs Factor Analysis using Principal Component Analysis (PCA) to extract factors and loadings.

Usage

FA(X, r)

Arguments

X	The observation data matrix of dimension T \times N.
r	The number of factors to estimate.

Value

A list containing:

F	The estimated factors matrix of dimension T \times r.
L	The estimated factor loadings matrix of dimension N \times r.

Author(s)

Jiaqi Hu

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Examples

X <- matrix(rnorm(100*20), 100, 20)
res <- FA(X, r = 2)
head(res$F)
head(res$L)

GrFA documentation built on Dec. 7, 2025, 1:07 a.m.