BFM
Beta Factor Model
Provides tools for factor analysis in financial and econometric settings under Beta factor models. It includes functions to simulate factor-model data with Beta-distributed idiosyncratic components (e.g., standard Beta, scaled Beta, and truncated Beta distributions) and to conduct model diagnostic assessments such as likelihood ratio tests for factor number selection and goodness-of-fit tests for Beta distribution assumptions. Estimation routines encompass maximum likelihood estimation for finite-dimensional Beta factor models, regularized Beta factor analysis for high-dimensional datasets, and shrinkage-based estimation for robust Beta factor loading recovery in noisy or incomplete data environments. The package's methodological framework is detailed in Guo G. (2023) <doi:10.1007/s00180-022-01270-z>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.11 |
rolling linux/jammy R-4.5 | BFM_0.2.11.tar.gz |
30.5 KiB |
0.2.11 |
rolling linux/noble R-4.5 | BFM_0.2.11.tar.gz |
30.4 KiB |
0.2.11 |
rolling source/ R- | BFM_0.2.11.tar.gz |
13.2 KiB |
0.2.11 |
latest linux/jammy R-4.5 | BFM_0.2.11.tar.gz |
30.5 KiB |
0.2.11 |
latest linux/noble R-4.5 | BFM_0.2.11.tar.gz |
30.4 KiB |
0.2.11 |
latest source/ R- | BFM_0.2.11.tar.gz |
13.2 KiB |
0.2.11 |
2026-04-23 source/ R- | BFM_0.2.11.tar.gz |
0 B |