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BFM  

Beta Factor Model
View on CRAN: Click here


Download and install BFM package within the R console
Install from CRAN:
install.packages("BFM")

Install from Github:
library("remotes")
install_github("cran/BFM")

Install by package version:
library("remotes")
install_version("BFM", "0.2.11")



Attach the package and use:
library("BFM")
Maintained by
Guangbao Guo
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-18
Latest Update: 2026-05-18
Description:
Provides tools for factor analysis in financial and econometric settings under Beta factor models. It includes functions to simulate factor-model data with Beta-distributed idiosyncratic components (e.g., standard Beta, scaled Beta, and truncated Beta distributions) and to conduct model diagnostic assessments such as likelihood ratio tests for factor number selection and goodness-of-fit tests for Beta distribution assumptions. Estimation routines encompass maximum likelihood estimation for finite-dimensional Beta factor models, regularized Beta factor analysis for high-dimensional datasets, and shrinkage-based estimation for robust Beta factor loading recovery in noisy or incomplete data environments. The package's methodological framework is detailed in Guo G. (2023) <doi:10.1007/s00180-022-01270-z>.
How to cite:
Guangbao Guo (2026). BFM: Beta Factor Model. R package version 0.2.11, https://cran.r-project.org/web/packages/BFM. Accessed 28 Jul. 2026.
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