Other packages > Find by keyword >

HDMFA  

High-Dimensional Matrix Factor Analysis
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("HDMFA", "0.1.1")



Attach the package and use:
library("HDMFA")
Maintained by
Ran Zhao
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-05-30
Latest Update: 2024-01-20
Description:
High-dimensional matrix factor models have drawn much attention in view of the fact that observations are usually well structured to be an array such as in macroeconomics and finance. In addition, data often exhibit heavy-tails and thus it is also important to develop robust procedures. We aim to address this issue by replacing the least square loss with Huber loss function. We propose two algorithms to do robust factor analysis by considering the Huber loss. One is based on minimizing the Huber loss of the idiosyncratic error's Frobenius norm, which leads to a weighted iterative projection approach to compute and learn the parameters and thereby named as Robust-Matrix-Factor-Analysis (RMFA), see the details in He et al. (2023). The other one is based on minimizing the element-wise Huber loss, which can be solved by an iterative Huber regression algorithm (IHR), see the details in He et al. (2023) . In this package, we also provide the algorithm for alpha-PCA by Chen & Fan (2021) , the Projected estimation (PE) method by Yu et al. (2022). In addition, the methods for determining the pair of factor numbers are also given.
How to cite:
Ran Zhao (2023). HDMFA: High-Dimensional Matrix Factor Analysis. R package version 0.1.1, https://cran.r-project.org/web/packages/HDMFA. Accessed 26 Jun. 2026.
Previous versions and publish date:
0.1.0 (2023-05-30 12:50)
Other packages that cited HDMFA R package
View HDMFA citation profile
Other R packages that HDMFA depends, imports, suggests or enhances
Complete documentation for HDMFA
Functions, R codes and Examples using the HDMFA R package
Full HDMFA package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

colormap  
Color Palettes using Colormaps Node Module
Allows to generate colors from palettes defined in the colormap module of 'Node.js'. (see ...
Download / Learn more Package Citations See dependency  
tactile  
New and Extended Plots, Methods, and Panel Functions for 'lattice'
Extensions to 'lattice', providing new high-level functions, methods for existing functions, panel f ...
Download / Learn more Package Citations See dependency  
infotheo  
Information-Theoretic Measures
Implements various measures of information theory based on several entropy estimators. ...
Download / Learn more Package Citations See dependency  
ggblanket  
Simplify 'ggplot2' Visualisation
Simplify 'ggplot2' visualisation with 'ggblanket' wrapper functions. ...
Download / Learn more Package Citations See dependency  
poptrend  
Estimate Smooth and Linear Trends from Population Count Survey Data
Functions to estimate and plot smooth or linear population trends, or population indices, from anim ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA