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EFM  

Elliptical Factor Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("EFM", "1.3.0")



Attach the package and use:
library("EFM")
Maintained by
Guangbao Guo
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-10-21
Latest Update: 2025-10-21
Description:
The elliptical factor model, as an extension of the traditional factor model,effectively overcomes the limitations of the traditional model when dealing with heavy-tailed characteristic data. This package implements sparse principal component methods (SPC) and bi-sparse online principal component estimation (SPOC) for parameter estimation. Includes functionality for calculating mean squared error, relative error, and loading matrix sparsity.The philosophy of the package is described in Guo G. (2023) <doi:10.1007/s00180-022-01270-z>.
How to cite:
Guangbao Guo (2025). EFM: Elliptical Factor Models. R package version 1.3.0, https://cran.r-project.org/web/packages/EFM. Accessed 21 Aug. 2026.
Previous versions and publish date:
0.5.0 (2025-10-21 20:00), (2026-07-09 08:02)
Other packages that cited EFM R package
View EFM citation profile
Other R packages that EFM depends, imports, suggests or enhances
Complete documentation for EFM
Functions, R codes and Examples using the EFM R package
Full EFM package functions and examples
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