SOPC_estimation {SFM}R Documentation

SOPC Estimation Function

Description

This function processes Skew Factor Model (SFM) data using the Sparse Online Principal Component (SOPC) method.

Usage

SOPC_estimation(data, gamma, eta)

Arguments

data

Matrix of SFM data.

gamma

Tuning parameter for the sparseness of the loadings matrix.

eta

Tuning parameter for the sparseness of the common factors matrix.

Value

A list containing:

Aso

Estimated factor loadings.

Dso

Estimated common factors .

tauA

Sparsity of the loadings matrix, calculated as the proportion of zeros.

Examples

set.seed(123) # For reproducibility
data <- matrix(runif(200), nrow = 20) # Skew Factor Model data
sopc_results <- SOPC_estimation(data, 0.1, 0.8)
print(sopc_results)


[Package SFM version 0.1.0 Index]