Select_ED_Rank: Function that uses edge distribution (ED) method to calculate...

In justicesuker/DMMD_Package: Double Matched Matrix Decomposition

Function that uses edge distribution (ED) method to calculate the rank i.e., the number of factors.

Description

This function is a direct translation from Python function 'select_K_by_ED' in dcca.py.

Usage

Select_ED_Rank(x, k_max = NULL, k_min = NULL, maxiter = 100)

Arguments

x	The input vector for selecting the rank
k_max	The maximum rank to be considered, restricted to less than or equal to half of the length of the vector. If not given, one tenth of the length of the vector is considered in general
k_min	The minimum rank to be considered. If not given, it is treated as 1
maxiter	The maximum iterations for the algorithm. Default 100

Value

The rank estimated by ED method

References

Onatski, Alexei. “DETERMINING THE NUMBER OF FACTORS FROM EMPIRICAL DISTRIBUTION OF EIGENVALUES.” The Review of Economics and Statistics 92, no. 4 (2010): 1004–16. http://www.jstor.org/stable/40985808.

Examples

x = c(20,9.5,9,8,6,5,4.5,3)
Select_ED_Rank(x)

justicesuker/DMMD_Package documentation built on Aug. 6, 2022, 12:34 p.m.