RMFM: Robust Matrix Factor Model (original) (raw)
We introduce a robust matrix factor model that explicitly incorporates tail behavior and employs a mean-shift term to avoid efficiency losses through pre-centering of observed matrices. More details on the methods related to our paper are currently under submission. A full reference to the paper will be provided in future versions once the paper is published.
| Version: | 1.1.0 |
|---|---|
| Depends: | irlba, R (≥ 3.5.0) |
| Imports: | stats, LaplacesDemon, MixMatrix, COAP, Rcpp (≥ 1.0.10) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown |
| Published: | 2024-11-26 |
| DOI: | 10.32614/CRAN.package.RMFM |
| Author: | Wei Liu [aut, cre] |
| Maintainer: | Wei Liu |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| CRAN checks: | RMFM results |
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