l1rotation-package {l1rotation}R Documentation

l1rotation: Identify Loading Vectors under Sparsity in Factor Models

Description

Simplify the loading matrix in factor models using the l1 criterion as proposed in Freyaldenhoven (2025) doi:10.21799/frbp.wp.2020.25. Given a data matrix, find the rotation of the loading matrix with the smallest l1-norm and/or test for the presence of local factors with main function local_factors().

Author(s)

Maintainer: Ryan Kobler kobleary@gmail.com

Authors:

See Also

Useful links:


[Package l1rotation version 1.0.1 Index]