oblique_grad_fa

MLE of parameters in the Gaussian oblique factor model 
for d variables and m groups,

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

oblique_grad_fa function

<dl><dt>grsize</dt>
<dd>vector of group sizes (variables ordered by group)</dd><dt>start</dt>
<dd>starting vector of length d + m*(m-1)/2; d loading parameters followed by m*(m-1)/2 entries in correlation matrix of latent variables (lower triangle by row)</dd><dt>data</dt>
<dd>n x d data set to compute the correlation matrix if correlation matrix (cormat) not given</dd><dt>cormat</dt>
<dd>dxd (empirical) correlation matrix of normal scores</dd><dt>n</dt>
<dd>sample size, if available</dd><dt>prlevel</dt>
<dd>print.level for nlm()</dd><dt>mxiter</dt>
<dd>maximum number of iterations for nlm()</dd></dl>

Arguments

Gaussian oblique factor structure correlation matrix — oblique_grad_fa

<dl>

<dt>grsize</dt>
<dd>vector of group sizes (variables ordered by group)</dd>

<dt>start</dt>
<dd>starting vector of length d + m*(m-1)/2; d loading parameters followed by m*(m-1)/2 entries in correlation matrix of latent variables (lower triangle by row)</dd>

<dt>data</dt>
<dd>n x d data set to compute the correlation matrix if correlation matrix (cormat) not given</dd>

<dt>cormat</dt>
<dd>dxd (empirical) correlation matrix of normal scores</dd>

<dt>n</dt>
<dd>sample size, if available</dd>

<dt>prlevel</dt>
<dd>print.level for nlm()</dd>

<dt>mxiter</dt>
<dd>maximum number of iterations for nlm()</dd>

</dl>

oblique_grad_fa: Gaussian oblique factor structure correlation matrix

Description

Usage

Value

Arguments