est_num {REFA}

Estimating Factor Numbers Corresponding PCA

Description

Estimating Factor Numbers Corresponding PCA

Usage

est_num(X, kmax = 8, type = "BIC3")

Arguments

X

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

kmax

The user-supplied maximum factor numbers.

type

the method used.

Value

the estimated factor numbers

Author(s)

Jiaqi Hu

References

Manuscript: Robust factor analysis with exponential squared loss

Examples

dat = gendata()
est_num(dat$Y)