findLambdaClass: find B matrix such that X=BxF+e, i.e. lambda.hat
In jsliu/FARMregress: Factor Adjusted Regularized Model
Description
find B matrix such that X=BxF+e, i.e. lambda.hat
Usage
1
findLambdaClass(eigen.value, eigen.vector, k.factors)
Arguments
eigen.value
eigen values of covariance matrix
eigen.vector
eigen vectors of covariance matrix
k.factors
number of factors needed
jsliu/FARMregress documentation built on Oct. 5, 2020, 6:41 a.m.
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Description
find B matrix such that X=BxF+e, i.e. lambda.hat
Usage
1 | findLambdaClass(eigen.value, eigen.vector, k.factors)
|
Arguments
eigen.value |
eigen values of covariance matrix |
eigen.vector |
eigen vectors of covariance matrix |
k.factors |
number of factors needed |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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