RMFM (version 1.1.0)

ER.RMFM: Select the structure dimension of factor matrix

Description

Select the structure dimension of factor matrix in the high-dimensional robust matrix factor model

Usage

ER.RMFM(
  X,
  r_max = 10,
  epsELBO = 1e-09,
  maxIter = 20,
  verbose = FALSE,
  seed = 1
)

Value

return a list including the following components:

• rvec - a two-dimensional vector, the estimated row and column numbers of factors.

• svrMat - a r_max-by-2 matrix, the singular value ratios.

Arguments

X

a p1* p2*T array, which is the observed matrix from each individual, where T is the sample size.

r_max

an optional positive integer, specify the upper bound of row and column factors; default as 10.

epsELBO

an optional positive value, tolerance of relative variation rate of the variational lower bound value, default as '1e-9'.

maxIter

the maximum iteration of the VEM algorithm. The default is 30.

verbose

a logical value, whether output the information in iteration.

seed

an optional integer, specify the random seed for reproducibility in initialization.

Details

None

References

None

See Also

None

Examples

r1 <- 4; r2 <- 3;
Tt <- 100; type <- 'MatrixT'
p1 <- 50; p2 <- 50
datlist <- gendata_rmfm(Tt = Tt,p1 =p1, p2=p2, r1=r1, r2=r2,
                        rho=1, type= 'MatrixT', nu=3)
str(datlist)
res <- ER.RMFM(datlist$X, r_max=10,   epsELBO=1e-9, maxIter=10, verbose=FALSE, seed=1)
res