RTS_FN {HDRFA}

Estimating Factor Numbers Robustly via Multivariate Kendall’s Tau Eigenvalue Ratios

Description

This function is to estimate factor numbers robustly via multivariate Kendall’s tau eigenvalue ratios.

Usage

RTS_FN(X, rmax)

Arguments

X

Input matrix, of dimension T\times N. Each row is an observation with N features at time point t.

rmax

The user-supplied maximum factor numbers.

Details

See Yu et al. (2019) for details.

Value

rhat

The estimated factor number.

Author(s)

Yong He, Lingxiao Li, Dong Liu, Wenxin Zhou.

References

Yu, L., He, Y., Zhang, X., 2019. Robust factor number specification for large-dimensional elliptical factor model. Journal of Multivariate analysis 174, 104543.

Examples

set.seed(1)
T=50;N=50;r=3
L=matrix(rnorm(N*r,0,1),N,r);F=matrix(rnorm(T*r,0,1),T,r)
E=matrix(rnorm(T*N,0,1),T,N)
X=F%*%t(L)+E

RTS_FN(X,8)