Robust Matrix Factor Model
Overview
We introduce a robust matrix factor model that explicitly incorporates tail behavior and employs a mean-shift term to avoid efficiency losses through pre-centering of observed matrices. More details on the methods related to our paper are currently under submission. A full reference to the paper will be provided in future versions once the paper is published.
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-05-02
- NOTE11 OK, 1 NOTE2026-04-25
- OK14 OK2026-04-22
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- ERROR13 OK, 1 ERROR2026-04-18
- OK14 OK2026-04-16
- NOTE13 OK, 1 NOTE2026-03-28
- OK14 OK2026-03-10
Documentation
- Help pages
- 3
- Examples that run
- 100%3 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 67%
Downloads
Dependencies
Installing RMFM adds 8 packages (7 with compiled code, 5.5 MB of source tarballs). Heaviest: LaplacesDemon 2.0 MB, Rcpp 1.8 MB, RcppArmadillo 1.0 MB.
Code & Tests
People & History
- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- 1.1.0Latest2024-11-26 · current release
- RR 4.4.0 released · 2024-04-24
Package metadata
- First published
- 2024-11-26
- Total releases
- 1 / 2 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Download size
- 11 KB
Cite
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