GrFA (version 0.2.1)

APM: Aggregated Projection Method

Description

Aggregated Projection Method

Usage

APM(y, rmax = 8, r0 = NULL, r = NULL, localfactor = FALSE, weight = TRUE,
      method = "ic", type = "IC3")

Value

r0hat

the estimated number of the global factors.

rho

the estimated number of the local factors.

Ghat

the estimated global factors.

loading_G

a list consisting of the estimated global factor loadings.

Fhat

the estimated local factors.

loading_F

a list consisting of the estimated local factor loadings.

e

a list consisting of the residuals.

threshold

the threshold used in determining the number of global factors, only for method = ic.

Arguments

y

a list of the observation data, each element is a data matrix of each group with dimension \(T * N_m\).

rmax

the maximum factor numbers of all groups.

r0

the number of global factors, default is NULL, the algorithm will automatically estimate the number of global factors. If you have the prior information about the true number of global factors, you can set it by your own.

r

the number of local factors in each group, default is NULL, the algorithm will automatically estimate the number of local factors. If you have the prior information about the true number of local factors, you can set it by your own, notice it should be an integer vector of length \(M\) (the number of groups).

localfactor

if localfactor = FALSE, then we would not estimate the local factors; if localfactor = TRUE, then we will further estimate the local factors.

weight

the weight of each projection matrix, default is TRUE, means \(w_m = N_m/N\), if weight = FALSE, then simply calculate the mean of all projection matrices.

method

the method used in the algorithm, default is ic, it can also be gap.

type

the method used in estimating the factor numbers in each group initially, default is IC3

Examples

dat = gendata()
dat
APM(dat$y, rmax = 8, localfactor = TRUE, method = "ic")
APM(dat$y, rmax = 8, localfactor = TRUE, method = "gap")