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RMFM: Robust Matrix Factor Model
We introduce a robust matrix factor model that explicitly incorporates tail behavior and employs a mean-shift term to avoid efficiency losses through pre-centering of observed matrices. More details on the methods related to our paper are currently under submission. A full reference to the paper will be provided in future versions once the paper is published.
Getting started
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Package details |
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| Author | Wei Liu [aut, cre] |
| Maintainer | Wei Liu <liuwei8@scu.edu.cn> |
| License | GPL-3 |
| Version | 1.1.0 |
| Package repository | View on CRAN |
| Installation |
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