sdim
An R Package for Supervised Dimension Reduction
Implements five factor extraction methods for asset pricing and macroeconomic forecasting: principal component analysis (PCA), partial least squares (PLS), scaled PCA (sPCA) of Huang, Jiang, Li, Tong, and Zhou (2022) <doi:10.1287/mnsc.2021.4020>, the reduced-rank approach (RRA) of He, Huang, Li, and Zhou (2023) <doi:10.1287/mnsc.2022.4563>, and Instrumented PCA (IPCA) of Kelly, Pruitt, and Su (2019) <doi:10.1016/j.jfineco.2019.05.001>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | sdim_0.1.0.tar.gz |
1.5 MiB |
0.1.0 |
rolling linux/noble R-4.5 | sdim_0.1.0.tar.gz |
1.5 MiB |
0.1.0 |
rolling source/ R- | sdim_0.1.0.tar.gz |
1.1 MiB |
0.1.0 |
latest linux/jammy R-4.5 | sdim_0.1.0.tar.gz |
1.5 MiB |
0.1.0 |
latest linux/noble R-4.5 | sdim_0.1.0.tar.gz |
1.5 MiB |
0.1.0 |
latest source/ R- | sdim_0.1.0.tar.gz |
1.1 MiB |
0.1.0 |
2026-04-23 source/ R- | sdim_0.1.0.tar.gz |
0 B |