Elliptical Factor Models
Overview
The elliptical factor model, as an extension of the traditional factor model, effectively overcomes the limitations of the traditional model when dealing with heavy-tailed characteristic data. This package implements sparse principal component methods (SPC) and bi-sparse online principal component estimation (SPOC) for parameter estimation. Includes functionality for calculating mean squared error, relative error, and loading matrix sparsity.The philosophy of the package is described in Guo G. (2023) doi:10.1007/s00180-022-01270-z.
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 9
- Examples that run
- 22%2 run in a plain check · 4 only when donttest examples are enabled (R CMD check --as-cran) · 3 never run
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 0%
Downloads
Dependencies
Installing EFM adds 5 packages (2 with compiled code, 790 KB of source tarballs). Heaviest: magrittr 275 KB, lars 180 KB, elasticnet 167 KB.
Code & Tests
People & History
Pick two releases to compare their code metrics.
- RR 4.6.0 released · 2026-04-24
- 1.3.0Latest
- 0.5.02025-10-21
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2025-10-21
- Total releases
- 2 / 1 yrs
- License
- MIT + file LICENSE OSI
- Minimum R
- ≥ 3.5.0
- Download size
- 8.0 KB
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