Model and estimation | A small worked example | Fitted components and residuals | Choosing ranks | Detecting and screening global common factors
Package: MMEFM 0.1.1
Kaixin Liu
MMEFM: Multilevel Main Effects Matrix Factor Model Tools
Provides estimation, rank selection, and simulation for grouped matrix-valued time series using the Multilevel Main Effects Matrix Factor Model. The model separates global and local grand means, row and column main effects, and bilinear interaction components, allowing nonstationary main effects under suitable conditions. A circular-shift bootstrap is used to detect a shared global common component and screen participating groups on a stationary segment. The underlying methodology is developed in Liu, Lam and Cen (2026) <doi:10.48550/arXiv.2610.18335>.
Authors:
MMEFM_0.1.1.tar.gz
MMEFM_0.1.1.zip(r-4.7-any)MMEFM_0.1.1.zip(r-4.6-any)
MMEFM_0.1.1.tar.gz(r-4.7-any)MMEFM_0.1.1.tar.gz(r-4.6-any)
MMEFM_0.1.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
MMEFM/json (API)
| # Install 'MMEFM' in R: |
| install.packages('MMEFM', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/kx-liu/mmefm/issues
Last updated from:c5ce0434e2. Checks:6 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 167 | ||
| source / vignettes | OK | 221 | ||
| linux-release | OK | 110 | ||
| windows-devel | OK | 71 | ||
| windows-release | OK | 91 | ||
| wasm-release | OK | 72 |
Exports:detect_MMEFM_globalest_MMEFMgen_MMEFMgen_piecewise_arfimaselect_MMEFM_rank
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Detect and screen global common factors in MMEFM | detect_MMEFM_global |
| Estimate a Multilevel Main Effects Matrix Factor Model | est_MMEFM |
| Reconstruct fitted MMEFM components | fitted.mmefm_fit |
| Simulate a Multilevel Main Effects Matrix Factor Model | gen_MMEFM |
| Generate piecewise ARFIMA time series | gen_piecewise_arfima |
| Print global common-factor detection results | print.mmefm_global_detection |
| Compute residuals of an MMEFM fit | residuals.mmefm_fit |
| Select global and local MMEFM ranks | select_MMEFM_rank |
| Summarize and print an MMEFM fit | print.mmefm_fit print.summary.mmefm_fit summary.mmefm_fit |