FA {REFA}

Principal Component Analysis for Factor Models

Description

Principal Component Analysis for Factor Models

Usage

FA(X, r)

Arguments

X

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

r

A positive integer indicating the factor numbers.

Value

Fhat

The estimated factor matrix.

Lhat

The estimated loading matrix.

Author(s)

Jiaqi Hu

References

Manuscript: Robust factor analysis with exponential squared loss

Examples

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