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]