MultiEFM

High-dimensional multi-study elliptical factor model

To robustly extract study-shared and study-specific latent features from heavy-tailed data derived from multiple heterogeneous sources, we introduce a multi-study elliptical factor model, called MultiEFM, which learns latent structures and accounts for the heterogeneity among sources without requiring finite second moments.

Installation

"MultiEFM" depends on the 'Rcpp' and 'RcppArmadillo' package, which requires appropriate setup of computer. For the users that have set up system properly for compiling C++ files, the following installation command will work.

Install from CRAN

install.packages("MultiEFM")

Install from github

if (!require("remotes", quietly = TRUE))
    install.packages("remotes")
# remotes::install_github("RRuihan-Zhang/MultiEFM")
install.packages("MultiEFM", repos = c('https://rruihan-zhang.r-universe.dev', 'https://cloud.r-project.org'))

Usage

For usage examples and guided walkthroughs, check the vignettes directory of the repo or our official website.

Simulated codes

For the codes in simulation study, check the simuCodes directory of the repo.

News

MultiEFM version 1.0 released! (2026-04-27)

Authors