MKendall
Matrix Kendall's Tau and Matrix Elliptical Factor Model
Large-scale matrix-variate data have been widely observed nowadays in various research areas such as finance, signal processing and medical imaging. Modelling matrix-valued data by matrix-elliptical family not only provides a flexible way to handle heavy-tail property and tail dependencies, but also maintains the intrinsic row and column structure of random matrices. We proposed a new tool named matrix Kendall's tau which is efficient for analyzing random elliptical matrices. By applying this new type of Kendell’s tau to the matrix elliptical factor model, we propose a Matrix-type Robust Two-Step (MRTS) method to estimate the loading and factor spaces. See the details in He at al. (2022)
- Version1.5-4
- R versionunknown
- LicenseGPL-2
- Needs compilation?No
- Last release03/11/2024
Team
Yalin Wang
Yong He
Show author detailsRolesAuthorLong Yu
Show author detailsRolesAuthorWang Zhou
Show author detailsRolesAuthorWenxin Zhou
Show author detailsRolesAuthor
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