TraceRatio

Evaluation of the estimated factors by trace ratios, the values is between 0 and 1, higher values means better estimation.

Several group factor analysis algorithms are implemented, including Canonical Correlation-based Estimation by Choi et al. (2021) <doi:10.1016/j.jeconom.2021.09.008> , Generalised Canonical Correlation Estimation by Lin and Shin (2023) <doi:10.2139/ssrn.4295429>, Circularly Projected Estimation by Chen (2022) <doi:10.1080/07350015.2022.2051520>, and Aggregated projection method.

Jiaqi Hu

GrFA

Group Factor Analysis

Ting Li

Xueqin Wang

TraceRatio function

<dl> <dt>G</dt>
<dd>the true factors.</dd> <dt>Ghat</dt>
<dd>the estimated factors.</dd></dl>

Arguments

Trace ratio — TraceRatio

<dl>

 <dt>G</dt>
<dd>the true factors.</dd>

 <dt>Ghat</dt>
<dd>the estimated factors.</dd>

</dl>

TraceRatio: Trace ratio

Description

Usage

Value

Arguments