MKER {MKendall} | R Documentation |
Estimating Factor Numbers via Matrix Kendall's Tau Eigenvalue-Ratio Method
Description
This function is to estimate row and column factor numbers via Matrix Kendall's Tau Eigenvalue-Ratio Method.
Usage
MKER(X, kmax)
Arguments
X |
Input three-dimensional array, of dimension |
kmax |
The user-supplied maximum factor numbers. |
Details
See He at al. (2022) <arXiv:2207.09633> for details.
Value
khat |
The estimated row factor number. |
rhat |
The estimated column factor number. |
Author(s)
Yong He, Yalin Wang, Long Yu, Wang Zhou and Wenxin Zhou.
References
He, Y., Wang, Y., Yu, L., Zhou, W., & Zhou, W. X. (2022). A new non-parametric Kendall's tau for matrix-value elliptical observations <arXiv:2207.09633>.
Examples
set.seed(123456)
T=20;p=10;q=10;k=2;r=2
R=matrix(runif(p*k,min=-1,max=1),p,k)
C=matrix(runif(q*r,min=-1,max=1),q,r)
X=Y=E=array(0,c(T,p,q))
for(i in 1:T){
Y[i,,]=R%*%matrix(rnorm(k*r),k,r)%*%t(C)
E[i,,]=matrix(rnorm(p*q),p,q)
}
X=Y+E
fn=MKER(X,9)
fn$khat;
fn$rhat
[Package MKendall version 1.5-4 Index]