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l1rotation: Identify Loading Vectors under Sparsity in Factor Models
Simplify the loading matrix in factor models using the l1 criterion as proposed in Freyaldenhoven (2025) <doi:10.21799/frbp.wp.2020.25>. Given a data matrix, find the rotation of the loading matrix with the smallest l1-norm and/or test for the presence of local factors with main function local_factors().
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Package details |
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| Author | Simon Freyaldenhoven [aut, cph], Ryan Kobler [aut, cre] |
| Maintainer | Ryan Kobler <kobleary@gmail.com> |
| License | MIT + file LICENSE |
| Version | 1.0.1 |
| URL | https://kobleary.github.io/l1rotation/ https://github.com/SimonFreyaldenhoven/l1rotation |
| Package repository | View on CRAN |
| Installation |
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