Selection of the number of principal components
Eigenvalue ratio and growth ratio
ER_GR(data)
data |
An n by p matrix, where n denotes sample size and p denotes the number of discretized data points in a curve |
k_ER |
The number of components selected by the eigenvalue ratio |
k_GR |
The number of components selected by the growth ratio |
Han Lin Shang
Lam, C. and Yao, Q. (2012). Factor modelling for high-dimensional time series: Inference for the number of factors. The Annals of Statistics, 40, 694-726.
Ahn, S. and Horenstein, A. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81, 1203-1227.
ER_GR(pm_10_GR$y)
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