MEFM
Perform MEFM Estimation on Matrix Time Series
To perform main effect matrix factor model (MEFM) estimation for a given matrix time series as described in Lam and Cen (2024) doi:10.48550/arXiv.2406.00128. Estimation of traditional matrix factor models is also supported. Supplementary functions for testing MEFM over factor models are included.
- Version0.1.1
- R versionunknown
- LicenseGPL-3
- Needs compilation?No
- Last release06/06/2024
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Zetai Cen
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