REFA_FN {REFA}

Estimating Factor Numbers via Modified Rank Minimization

Description

Estimating Factor Numbers via Modified Rank Minimization

Usage

REFA_FN(Y, rmax = 8, tau = 0.75, q = 0.1, eps = 1e-04, init = TRUE)

Arguments

Y

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

rmax

The bound of the number of factors.

q

Hyper parameter in modified PCA algorithm. Default is 0.05.

eps

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

tau

Hyper parameter in selecting \gamma of the loss function.

init

Warn start by modified PCA algorithm. Default is TRUE.

Value

rhat

The estimated factor number.

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_FN(dat$Y, rmax = 8)