Copula Factor Models
Projection-on-Complement PCA (Generalized)
Generate Copula Factor Models Data and Perform Tests
Generate Copula-Distributed Error Terms
Perform Basic FanPC Factor Analysis
Perform Factor Analysis via Principal Component (FanPC) for CoFM
Perform PCA-based Factor Estimation for CoFM
POET: Principal Orthogonal complEment Thresholding
Perform Basic Projected PCA (PPC) Estimation
Perform Projected PCA (PPC) Estimation for CoFM
Center-then-PCA: Projection on the Orthogonal Complement of the Mean V...
Provides tools for factor analysis in high-dimensional settings under copula-based factor models. It includes functions to simulate factor-model data with copula-distributed idiosyncratic errors (e.g., Clayton, Gumbel, Frank, Student t and Gaussian copulas) and to perform diagnostic tests such as the Kaiser-Meyer-Olkin measure and Bartlett's test of sphericity. Estimation routines include principal component based factor analysis, projected principal component analysis, and principal orthogonal complement thresholding for large covariance matrix estimation. The philosophy of the package is described in Guo G. (2023) <doi:10.1007/s00180-022-01270-z>.