LFM (version 0.3.2)

SAPC: Apply the SAPC method to the Laplace factor model

Description

This function calculates several metrics for the SAPC method, including the estimated factor loadings and uniquenesses, and various error metrics comparing the estimated matrices with the true matrices.

Usage

SAPC(data, m, eta)

Value

Asa,Dsa

Arguments

data

The data used in the SAPC analysis.

m

is the number of principal component

eta

is the proportion of online data to total data

Examples

library(LaplacesDemon)
library(MASS)
n=1000
p=10
m=5
mu=t(matrix(rep(runif(p,0,1000),n),p,n))
mu0=as.matrix(runif(m,0))
sigma0=diag(runif(m,1))
F=matrix(mvrnorm(n,mu0,sigma0),nrow=n)
A=matrix(runif(p*m,-1,1),nrow=p)
lanor <- rlaplace(n*p,0,1)
epsilon=matrix(lanor,nrow=n)
D=diag(t(epsilon)%*%epsilon)
data=mu+F%*%t(A)+epsilon
results <- SAPC(data, m, eta=0.1)
print(results)