ftsa (version 6.4)

ER_GR: Selection of the number of principal components

Description

Eigenvalue ratio and growth ratio

Usage

ER_GR(data)

Value

k_ER

The number of components selected by the eigenvalue ratio

k_GR

The number of components selected by the growth ratio

Arguments

data

An n by p matrix, where n denotes sample size and p denotes the number of discretized data points in a curve

Author

Han Lin Shang

References

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.

See Also

ftsm

Examples

ER_GR(pm_10_GR$y)