gendata {REFA}

Data generation process

Description

Generate heavy-tailed data.

Usage

gendata(seed = 1, T = 50, N = 50, type = "1a")

Arguments

seed

the seed used in the data generation process.

T

time dimension.

N

cross-sectional dimension.

type

the type of the data generation process, it can be "1a", "1b", "1c", "1d", "2a", "2b", "2c", "2d".

Value

a list consisting of Y, F0, L0.

Author(s)

Jiaqi Hu

References

Manuscript: Robust factor analysis with exponential squared loss

Examples

dat = gendata()
Y = dat$Y
head(Y)