l1rotation
Identify Loading Vectors under Sparsity in Factor Models
Simplify the loading matrix in factor models using the l1 criterion as proposed in Freyaldenhoven (2025) <doi:10.21799/frbp.wp.2020.25>. Given a data matrix, find the rotation of the loading matrix with the smallest l1-norm and/or test for the presence of local factors with main function local_factors().
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.1 |
rolling linux/jammy R-4.5 | l1rotation_1.0.1.tar.gz |
461.1 KiB |
1.0.1 |
rolling linux/noble R-4.5 | l1rotation_1.0.1.tar.gz |
460.9 KiB |
1.0.1 |
rolling source/ R- | l1rotation_1.0.1.tar.gz |
4.7 MiB |
1.0.1 |
latest linux/jammy R-4.5 | l1rotation_1.0.1.tar.gz |
461.1 KiB |
1.0.1 |
latest linux/noble R-4.5 | l1rotation_1.0.1.tar.gz |
460.9 KiB |
1.0.1 |
latest source/ R- | l1rotation_1.0.1.tar.gz |
4.7 MiB |
1.0.1 |
2026-04-26 source/ R- | l1rotation_1.0.1.tar.gz |
4.7 MiB |
1.0.1 |
2026-04-23 source/ R- | l1rotation_1.0.1.tar.gz |
4.7 MiB |
1.0.1 |
2026-04-09 windows/windows R-4.5 | l1rotation_1.0.1.zip |
463.4 KiB |