Package: MKendall
Type: Package
Title: Matrix Kendall's Tau and Matrix Elliptical Factor Model
Version: 1.5-4
Authors@R: c(person("Yong","He",role=c("aut")),person("Yalin","Wang",role=c("aut","cre"),email="wangyalin@mail.sdu.edu.cn"),person("Long","Yu",role=c("aut")),person("Wang","Zhou",role=c("aut")),person("Wenxin","Zhou",role=c("aut")))
Author: Yong He [aut],
  Yalin Wang [aut, cre],
  Long Yu [aut],
  Wang Zhou [aut],
  Wenxin Zhou [aut]
Maintainer: Yalin Wang <wangyalin@mail.sdu.edu.cn>
Description: Large-scale matrix-variate data have been widely observed nowadays in various research areas such as finance, signal processing and medical imaging. Modelling matrix-valued data by matrix-elliptical family not only provides a flexible way to handle heavy-tail property and tail dependencies, but also maintains the intrinsic row and column structure of random matrices. We proposed a new tool named matrix Kendall's tau which is efficient for analyzing random elliptical matrices. By applying this new type of Kendell’s tau to the matrix elliptical factor model, we propose a Matrix-type Robust Two-Step (MRTS) method to estimate the loading and factor spaces. See the details in He at al. (2022) <arXiv:2207.09633>. In this package, we provide the algorithms for calculating sample matrix Kendall's tau, the MRTS method and the Matrix Kendall's tau Eigenvalue-Ratio (MKER) method which is used for determining the number of factors.
License: GPL-2
Encoding: UTF-8
NeedsCompilation: no
Packaged: 2024-03-11 08:53:10 UTC; lenovo
Repository: CRAN
Date/Publication: 2024-03-11 19:10:05 UTC
Built: R 4.6.0; ; 2026-04-26 22:20:07 UTC; unix
