FanPC_TFM: Apply the FanPC method to the Truncated factor model

In TFM: Sparse Online Principal Component for Truncated Factor Model

Apply the FanPC method to the Truncated factor model

Description

This function performs Factor Analysis via Principal Component (FanPC) on a given data set. It calculates the estimated factor loading matrix (AF), specific variance matrix (DF), and the mean squared errors.

Usage

FanPC_TFM(data, m, A, D, p)

Arguments

data	A matrix of input data.
m	The number of principal components.
A	The true factor loadings matrix.
D	The true uniquenesses matrix.
p	The number of variables.

Value

A list containing:

AF	Estimated factor loadings.
DF	Estimated uniquenesses.
MSESigmaA	Mean squared error for factor loadings.
MSESigmaD	Mean squared error for uniquenesses.
LSigmaA	Loss metric for factor loadings.
LSigmaD	Loss metric for uniquenesses.

Examples

## Not run: 
library(SOPC)
library(relliptical)
library(MASS)
n=1000
p=10
m=5
mu=t(matrix(rep(runif(p,0,1000),n),p,n))
mu0=as.matrix(runif(m,0))
sigma0=diag(runif(m,1))
F=matrix(mvrnorm(n,mu0,sigma0),nrow=n)
A=matrix(runif(p*m,-1,1),nrow=p)
trnor <- relliptical(n*p,0,1)
epsilon=matrix(trnor,nrow=n)
D=diag(t(epsilon)%*%epsilon)
data=mu+F%*%t(A)+epsilon
results <- FanPC_TFM(data, m, A, D, p)
print(results)

## End(Not run)

TFM documentation built on April 16, 2025, 5:10 p.m.