Constrained Factor Model
Performs factor model analysis with a given constrained matrix
hfactor(X, H, r)
X |
A T-by-k data matrix of an observed k-dimensional time series |
H |
The constrained matrix with each column representing a constraint |
r |
The number of common factor |
Results of the traditional PCA and constrained factor models are given
Ruey S. Tsay
Tsay (2014, Chapter 6). Tsai and Tsay (2010, JASA)
data("mts-examples",package="MTS")
rtn=log(tenstocks[,2:11]+1) # compute log returns
h1=c(1,1,1,1,rep(0,6)) # specify the constraints
h2=c(0,0,0,0,1,1,1,0,0,0)
h3=c(rep(0,7),1,1,1)
H=cbind(h1,h2,h3)
m1=hfactor(rtn,H,3)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.