CFM (version 0.8.0)

censored_factor_model: Robust Censored Factor Model

Description

Implementation of robust censored factor model using robust PCA initialization for handling left-censored data.

Usage

censored_factor_model(
  X,
  m,
  max_iter = 100,
  tol = 1e-04,
  nugget = 1e-06,
  alpha = 0.75
)

Value

A list containing model results

Arguments

X

Data matrix (n x p)

m

Number of factors

max_iter

Maximum number of ECM iterations (default: 100)

tol

Convergence tolerance (default: 1e-4)

nugget

Numerical stability term (default: 1e-6)

alpha

Robustness parameter for MCD (default: 0.75)