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:
Simon Freyaldenhoven simon.freyaldenhoven@phil.frb.org [copyright holder]
See Also
Useful links:
Report bugs at https://github.com/SimonFreyaldenhoven/l1rotation/issues
[Package l1rotation version 1.0.1 Index]