MKendall

Matrix Kendall's Tau and Matrix Elliptical Factor Model

CRAN Package

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) doi:10.48550/arXiv.2207.09633. In this package, we provide the algorithms for calculating sample matrix Kendall's tau, the MRTS method and the Matrix Kendall's tau Eigenvalue-Ratio (MKER) method which is used for determining the number of factors.

  • Version1.5-4
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release03/11/2024

Team


Insights

Last 30 days

This package has been downloaded 204 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 8 times.

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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 3,030 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Jul 21, 2024 with 70 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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