TFM (version 0.3.0)

PPC2_TFM: Apply the PPC method to the Truncated factor model

Description

This function performs Projected Principal Component Analysis (PPC) on a given data set to reduce dimensionality. It calculates the estimated values for the loadings, specific variances, and the covariance matrix.

Usage

PPC2_TFM(data, m, A, D)

Value

A list containing:

Ap2

Estimated factor loadings.

Dp2

Estimated uniquenesses.

MSESigmaA

Mean squared error for factor loadings.

MSESigmaD

Mean squared error for uniquenesses.

LSigmaA

Loss metric for factor loadings.

LSigmaD

Loss metric for uniquenesses.

Arguments

data

The total data set to be analyzed.

m

The number of principal components.

A

The true factor loadings matrix.

D

The true uniquenesses matrix.

Examples

if (FALSE) {
library(SOPC)
library(relliptical)
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)
trnor <- relliptical(n*p,0,1)
epsilon=matrix(trnor,nrow=n)
D=diag(t(epsilon)%*%epsilon)
data=mu+F%*%t(A)+epsilon
results <- PPC2_TFM(data, m, A, D)
print(results)
}