REFA (version 0.2.0)

REFA_FN: Estimating Factor Numbers via Modified Rank Minimization

Description

Estimating Factor Numbers via Modified Rank Minimization

Usage

REFA_FN(Y, rmax = 8, tau = 0.75, q = 0.1, eps = 1e-04, init = TRUE)

Value

A list containing:

rhat

The estimated factor number.

Fhat

The estimated factor matrix.

Lhat

The estimated loading matrix.

loss

The value of the loss function.

Arguments

Y

Input matrix, of dimension \(T\times N\). Each row is an observation with \(N\) features at time point \(t\).

rmax

The bound of the number of factors.

tau

Hyper parameter in selecting \(\gamma\) of the loss function.

q

Hyper parameter used in the initializations, truncated PCA. Default is 0.05.

eps

The stopping criterion parameter. Default is 1e-5.

init

Warm start by truncated PCA algorithm. Default is TRUE.

Author

Jiaqi Hu

References

Robust factor analysis with exponential squared loss. Jiaqi Hu, Tingyin Wang, Xueqin Wang. Journal of Multivariate Analysis 2026, 213 105567; doi:10.1016/j.jmva.2025.105567

Examples

# \donttest{
# Assuming gendata() is defined in your package
dat = gendata()
REFA_FN(dat$Y, rmax = 8)
# }