TFM: Sparse Online Principal Component for Truncated Factor Model

The Truncated Factor Model is a statistical model designed to handle specific data structures in data analysis. This R package focuses on the Sparse Online Principal Component Estimation method, which is used to calculate data such as the loading matrix and specific variance matrix for truncated data, thereby better explaining the relationship between common factors and original variables. Additionally, the R package also provides other equations for comparison with the Sparse Online Principal Component Estimation method.The philosophy of the package is described in thesis. (2023) <doi:10.1007/s00180-022-01270-z>.

install.packages("TFM")

Try the TFM package in your browser