GFM
Generalized Factor Model
Wei Liu, Huazhen Lin, Jinyu Nie, Shurong Zheng, Jin Liu
Last update: 11 August 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.2.0, 1.1.0, 1.2.1
Generalized factor model is implemented for ultra-high dimensional data with mixed-type variables. Two algorithms, variational EM and alternate maximization, are designed to implement the generalized factor model, respectively. The factor matrix and loading matrix together with the number of factors can be well estimated. This model can be employed in social and behavioral sciences, economy and finance, and genomics, to extract interpretable nonlinear factors. More details can be referred to Wei Liu, Huazhen Lin, Shurong Zheng and Jin Liu. (2021) <doi:10.1080/01621459.2021.1999818>.
