l1rotation

cranv1.0.1

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_facto

License MIT + file LICENSE0 versions1 maintainers10 deps113 weekly dl
SimonFreyaldenhoven/l1rotation
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First published · 2025-05-20 08:58:00

Last updated · 2025-05-20T07:40:02+00:00