ITP_noproj {OLCPM} | R Documentation |
testing the number of row factors- without projection
Description
This function tests whether the number of row factors is equal or larger than a given integer, under a two-way factor model, using flat version of sample covariance.
Usage
ITP_noproj(
Y,
k = 1,
alpha = 0.05,
epsilon = 0.05,
r = 8,
M = 100,
S = 100,
fq = 1/4
)
Arguments
Y |
data, a |
k |
an positive integer indicating which eigenvalue to test. |
alpha |
a number in (0,1), indicating the significance of the test. |
epsilon |
a small positive number in (0,1), indicating the size of scaling. |
r |
a positive number indicating the order of the power function for transforming the rescaled eigenvalue. |
M |
a large integer for the number of Gaussian variables in the randomized test. |
S |
another large integer for the number of replications in the strong rule. Usually |
fq |
a number in (0,0.5), controlling the threshold function of the strong rule. |
Details
See He et al. (2023)
Value
a logical value. 1 for "the number of row factors is smaller than k". 0 for "at least k row factors exists".
References
He Y, Kong X, Trapani L, & Yu L (2023). One-way or two-way factor model for matrix sequences? Journal of Econometrics, 235(2), 1981-2004.
Examples
k1=3
k2=3
Sample_T=100
p1=40
p2=20
Y=gen.data(Sample_T,p1,p2,k1,k2,tau=0.5,change=0)
ITP_noproj(Y,k=1,M=Sample_T,S=Sample_T)
ITP_noproj(Y,k=4,M=Sample_T,S=Sample_T)