ER_GR: Selection of the number of principal components

In ftsa: Functional Time Series Analysis

Selection of the number of principal components

Description

Eigenvalue ratio and growth ratio

Usage

ER_GR(data)

Arguments

data	An n by p matrix, where n denotes sample size and p denotes the number of discretized data points in a curve

Value

k_ER	The number of components selected by the eigenvalue ratio
k_GR	The number of components selected by the growth ratio

Author(s)

Han Lin Shang

References

Lam, C. and Yao, Q. (2012). Factor modelling for high-dimensional time series: Inference for the number of factors. The Annals of Statistics, 40, 694-726.

Ahn, S. and Horenstein, A. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81, 1203-1227.

See Also

ftsm

Examples

ER_GR(pm_10_GR$y)

ftsa documentation built on May 29, 2024, 2:47 a.m.