hfactor function

Constrained Factor Model

Performs factor model analysis with a given constrained matrix

hfactor(X, H, r)

Arguments

• 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

Returns

Results of the traditional PCA and constrained factor models are given

References

Tsay (2014, Chapter 6). Tsai and Tsay (2010, JASA)

Author(s)

Ruey S. Tsay

Examples

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)