ER.RMFM {RMFM} | R Documentation |
Select the structure dimension of factor matrix
Description
Select the structure dimension of factor matrix in the high-dimensional robust matrix factor model
Usage
ER.RMFM(
X,
r_max = 10,
epsELBO = 1e-09,
maxIter = 20,
verbose = FALSE,
seed = 1
)
Arguments
X |
a p1* p2*T array, which is the observed matrix from each individual, where T is the sample size. |
r_max |
an optional positive integer, specify the upper bound of row and column factors; default as 10. |
epsELBO |
an optional positive value, tolerance of relative variation rate of the variational lower bound value, default as '1e-9'. |
maxIter |
the maximum iteration of the VEM algorithm. The default is 30. |
verbose |
a logical value, whether output the information in iteration. |
seed |
an optional integer, specify the random seed for reproducibility in initialization. |
Details
None
Value
return a list including the following components:
-
rvec
- a two-dimensional vector, the estimated row and column numbers of factors. -
svrMat
- a r_max-by-2 matrix, the singular value ratios.
References
None
See Also
None
Examples
r1 <- 4; r2 <- 3;
Tt <- 100; type <- 'MatrixT'
p1 <- 50; p2 <- 50
datlist <- gendata_rmfm(Tt = Tt,p1 =p1, p2=p2, r1=r1, r2=r2,
rho=1, type= 'MatrixT', nu=3)
str(datlist)
res <- ER.RMFM(datlist$X, r_max=10, epsELBO=1e-9, maxIter=10, verbose=FALSE, seed=1)
res