l1rotation
Identify Loading Vectors under Sparsity in Factor Models
v1.0.1
·
May 20, 2025
·
MIT + file LICENSE
Description
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().
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.0.1
Mar 9, 2026