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CoFM  

Copula Factor Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("CoFM", "1.1.4")



Attach the package and use:
library("CoFM")
Maintained by
Guangbao Guo
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-01-27
Latest Update: 2026-01-27
Description:
Provides tools for factor analysis in high-dimensional settings under copula-based factor models. It includes functions to simulate factor-model data with copula-distributed idiosyncratic errors (e.g., Clayton, Gumbel, Frank, Student t and Gaussian copulas) and to perform diagnostic tests such as the Kaiser-Meyer-Olkin measure and Bartlett's test of sphericity. Estimation routines include principal component based factor analysis, projected principal component analysis, and principal orthogonal complement thresholding for large covariance matrix estimation. The philosophy of the package is described in Guo G. (2023) <doi:10.1007/s00180-022-01270-z>.
How to cite:
Guangbao Guo (2026). CoFM: Copula Factor Models. R package version 1.1.4, https://cran.r-project.org/web/packages/CoFM. Accessed 26 Jun. 2026.
Previous versions and publish date:
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