REFA {REFA}

Robust Exponential Factor Analysis

Description

Robust Exponential Factor Analysis

Usage

REFA(Y, r = 3, tau = 0.75, q = 0.05, eps = 1e-05, init = TRUE)

Arguments

Y

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.

q

Hyper parameter

eps

The stopping criterion parameter. The default is 1e-5.

tau

Hyper parameter

init

Warn start of the algorithm. If init = TRUE, use modified PCA initialization. If init is a list contains F0 and L0, we will use this initialization. Otherwise, use traditional PCA initialization.

Value

Fhat

The estimated factor matrix.

Lhat

The estimated loading matrix.

loss

the value of the loss function.

Author(s)

Jiaqi Hu

References

Manuscript: Robust factor analysis with exponential squared loss

Examples

dat = gendata()
REFA(dat$Y, r = 3)