REFA
Robust Exponential Factor Analysis
A robust alternative to the traditional principal component estimator is proposed within the framework of factor models, known as Robust Exponential Factor Analysis, specifically designed for the modeling of high-dimensional datasets with heavy-tailed distributions. The algorithm estimates the latent factors and the loading by minimizing the exponential squared loss function. To determine the appropriate number of factors, we propose a modified rank minimization technique, which has been shown to significantly enhance finite-sample performance. For more detail of Robust Exponential Factor Analysis, please refer to Hu et al. (2026) <doi:10.1016/j.jmva.2025.105567>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.0 |
rolling linux/jammy R-4.5 | REFA_0.2.0.tar.gz |
38.4 KiB |
0.2.0 |
rolling linux/noble R-4.5 | REFA_0.2.0.tar.gz |
38.3 KiB |
0.2.0 |
rolling source/ R- | REFA_0.2.0.tar.gz |
5.8 KiB |
0.2.0 |
latest linux/jammy R-4.5 | REFA_0.2.0.tar.gz |
38.4 KiB |
0.2.0 |
latest linux/noble R-4.5 | REFA_0.2.0.tar.gz |
38.3 KiB |
0.2.0 |
latest source/ R- | REFA_0.2.0.tar.gz |
5.8 KiB |
0.2.0 |
2026-04-26 source/ R- | REFA_0.2.0.tar.gz |
5.8 KiB |
0.2.0 |
2026-04-23 source/ R- | REFA_0.2.0.tar.gz |
5.8 KiB |
0.2.0 |
2026-04-09 windows/windows R-4.5 | REFA_0.2.0.zip |
40.9 KiB |
0.1.0 |
2025-04-20 source/ R- | REFA_0.1.0.tar.gz |
5.0 KiB |