Dimension reduction via maximum autocorrelation factors
Usage
MAF_multivariate(data, threshold)
Value
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
Arguments
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
Author
Han Lin Shang
References
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.