GrFA

CRANGrFAMaRDI QIDQ5977085FDOQ5977085

Group Factor Analysis

Jiaqi Hu, Xueqin Wang

Last update: 1 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.0, 0.1.1

Description

Several group factor analysis algorithms are implemented, including Canonical Correlation-based Estimation by Choi et al. (2021) <doi:10.1016/j.jeconom.2021.09.008> , Generalised Canonical Correlation Estimation by Lin and Shin (2022) <doi:10.2139/ssrn.4295429>, Circularly Projected Estimation by Chen (2022) <doi:10.1080/07350015.2022.2051520>, and the approach we recently proposed, named Aggregated Projection Method.

Cites work

• Canonical correlation-based model selection for the multilevel factors
• Generalised Canonical Correlation Estimation of the Multilevel Factor Model
• Circularly Projected Common Factors for Grouped Data

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