MKendall - Matrix Kendall's Tau and Matrix Elliptical Factor Model
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.