RTFA
Robust Factor Analysis for Tensor Time Series
Tensor Factor Models (TFM) are appealing dimension reduction tools for high-order tensor time series, and have wide applications in economics, finance and medical imaging. We propose an one-step projection estimator by minimizing the least-square loss function, and further propose a robust estimator with an iterative weighted projection technique by utilizing the Huber loss function. The methods are discussed in Barigozzi et al. (2022) doi:10.48550/arXiv.2206.09800, and Barigozzi et al. (2023) doi:10.48550/arXiv.2303.18163.
- Version0.1.0
- R version≥ 3.5.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Barigozzi et al. (2022)
- Barigozzi et al. (2023)
- Last release04/10/2023
Documentation
Team
Lingxiao Li
Yong He
Show author detailsRolesAuthorLorenzo Trapani
Show author detailsRolesAuthorMatteo Barigozzi
Show author detailsRolesAuthor
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Last 30 days
This package has been downloaded 254 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 14 times.
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Last 365 days
This package has been downloaded 3,897 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Jan 30, 2025 with 36 downloads.
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- Imports2 packages