hfactor: Constrained Factor Model

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Constrained Factor Model

Description

Performs factor model analysis with a given constrained matrix

Usage

hfactor(X, H, r)

Arguments

X	A T-by-k data matrix of an observed k-dimensional time series
H	The constrained matrix with each column representing a constraint
r	The number of common factor

Value

Results of the traditional PCA and constrained factor models are given

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6). Tsai and Tsay (2010, JASA)

Examples

data("mts-examples",package="MTS")
rtn=log(tenstocks[,2:11]+1) # compute log returns
h1=c(1,1,1,1,rep(0,6)) # specify the constraints
h2=c(0,0,0,0,1,1,1,0,0,0)
h3=c(rep(0,7),1,1,1)
H=cbind(h1,h2,h3)
m1=hfactor(rtn,H,3)

MTS documentation built on April 11, 2022, 5:07 p.m.