REFA_FN: Estimating Factor Numbers via Modified Rank Minimization

In REFA: Robust Exponential Factor Analysis

Estimating Factor Numbers via Modified Rank Minimization

Description

Estimating Factor Numbers via Modified Rank Minimization

Usage

REFA_FN(Y, rmax = 8, tau = 0.75, q = 0.1, eps = 1e-04, init = TRUE)

Arguments

Y	Input matrix, of dimension T\times N. Each row is an observation with N features at time point t.
rmax	The bound of the number of factors.
q	Hyper parameter in modified PCA algorithm. Default is 0.05.
eps	The stopping criterion parameter. Default is 1e-5.
tau	Hyper parameter in selecting \gamma of the loss function.
init	Warn start by modified PCA algorithm. Default is TRUE.

Value

rhat	The estimated factor number.
Fhat	The estimated factor matrix.
Lhat	The estimated loading matrix.
loss	the value of the loss function.

Author(s)

Jiaqi Hu

References

Manuscript: Robust factor analysis with exponential squared loss

Examples

dat = gendata()
REFA_FN(dat$Y, rmax = 8)

REFA documentation built on Nov. 19, 2023, 5:14 p.m.