RMFM
Robust Matrix Factor Model
We introduce a robust matrix factor model that explicitly incorporates tail behavior and employs a mean-shift term to avoid efficiency losses through pre-centering of observed matrices. More details on the methods related to our paper are currently under submission. A full reference to the paper will be provided in future versions once the paper is published.
- Version1.1.0
- R versionunknown
- LicenseGPL-3
- Needs compilation?Yes
- Last release11/26/2024
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Wei Liu
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