FM: Determing the number of factors in approximate factor models.

In wsy0317/StatComp21031: Example functions for 'Statistical Computing' course

Description

The function is adapted by Bai & Ng method to minimize information criterion with two penalties in static factor models.

Usage

FM(Y)

Arguments

Y	p by n matrix of raw data, where p is the dimensionality, n is the sample size.

Value

estimated number of factors based on two infomation criterion using Bai & Ng method.

Examples

## Not run: 
p=100
n=100
Y<-array(rnorm(p*n),dim=c(p,n))
K<-FM(Y)

## End(Not run)

wsy0317/StatComp21031 documentation built on Dec. 24, 2021, 1:28 a.m.