GFM

Generalized factor model for ultra-high dimensional variables with mixed types –R version

Please see our new paper for model details:

Wei Liu, Huazhen Lin, Shurong Zheng & Jin Liu (2021) . Generalized factor model for ultra-high dimensional mixed data. Journal of the American Statistics Association (Online).

Installation

To install the the packages ‘GFM’ from ‘Github’, firstly, install the ‘remotes’ package.

install.packages("remotes")
remotes::install_github("feiyoung/GFM")

Or install the the packages “GFM” from ‘CRAN’

install.packages("GFM")

Besides, this package also has the MATLAB version at https://github.com/feiyoung/GFM, which runs faster in MATLAB environment.

Demonstration

For an example of typical GFM usage, please see our Package vignette for a demonstration and overview of the functions included in GFM.