High-Dimensional Robust Factor Analysis

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Documentation for package ‘HDRFA’ version 0.1.4

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HPCA Huber Principal Component Analysis for Large-Dimensional Factor Models
HPCA_FN Estimating Factor Numbers via Rank Minimization Corresponding to Huber PCA
IQR Iterative Quantile Regression Methods for Quantile Factor Models
IQR_FN Estimating Factor Numbers via Rank Minimization Corresponding to IQR
PCA Principal Component Analysis for Large-Dimensional Factor Models
PCA_FN Estimating Factor Numbers via Eigenvalue Ratios Corresponding to PCA
RTS Robust Two Step Algorithm for Large-Dimensional Elliptical Factor Models
RTS_FN Estimating Factor Numbers Robustly via Multivariate Kendall’s Tau Eigenvalue Ratios