Softwares

pECV: Entrywise Splitting Cross-Validation

Implements the entrywise splitting cross-validation (ECV) procedure for selecting the rank of generalized factor models.

• Related Paper: Entrywise splitting cross-validation in generalized factor models: from sample splitting to entrywise splitting (Biometrics, 2025)
• Links: [R Package CRAN] [R Package GitHub]

sparseGFM: Sparse Generalized Factor Models

Provides efficient estimation for sparse generalized factor models, particularly addressing cases with weaker loadings.

• Related Paper: Sparse Generalized Factor Models with Weaker Loadings (Scandinavian Journal of Statistics, 2026)
• Links: [R Package CRAN] [R Package GitHub]