Maximum autocorrelation factors
Dimension reduction via maximum autocorrelation factors
MAF_multivariate(data, threshold)
data |
A p by n data matrix, where p denotes the number of variables and n denotes the sample size |
threshold |
A threshold level for retaining the optimal number of factors |
MAF |
Maximum autocorrelation factor scores |
MAF_loading |
Maximum autocorrelation factors |
Z |
Standardized original data |
recon |
Reconstruction via maximum autocorrelation factors |
recon_err |
Reconstruction errors between the standardized original data and reconstruction via maximum autocorrelation factors |
ncomp_threshold |
Number of maximum autocorrelation factors selected by explaining autocorrelation at and above a given level of threshold |
ncomp_eigen_ratio |
Number of maximum autocorrelation factors selected by eigenvalue ratio tests |
Han Lin Shang
M. A. Haugen, B. Rajaratnam and P. Switzer (2015). Extracting common time trends from concurrent time series: Maximum autocorrelation factors with applications, arXiv paper https://arxiv.org/abs/1502.01073.
MAF_multivariate(data = pm_10_GR_sqrt$y, threshold = 0.85)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.