SoftwareApplication
name: Factor_Model
description: Factor Model MATLAB code underlying the publication: A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems
description: The factor model problem focuses on the decomposition of a covariance matrix $\Sigma$ to low-rank and diagnonal positive semidefinite matrices. In practice, $\Sigma$ is often not available, and only its empirical counterpart, $\hat{\Sigma}$, is available. To robustify to this approximation error, a common practice is to consider a family of covariance matrices in the vicinity of $\Sigma$. The linked repository contains MATLAB files corresponding to the numerical results of the paper 'A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems'.
code repository: https://data.4tu.nl/v3/datasets/5b51c2b9-4aba-4fdb-a3c8-1ec2c7bf2a93.git
author: https://orcid.org/0000-0001-6896-3725
keywords: dimension reduction
keywords: covariance matrix estimation
keywords: Factor model
keywords: first-order algorithms
programming language: Markdown
programming language: Matlab
programming language: Other
license:
  creative work: creativeWork
    name: BSD-3-Clause

https://orcid.org/0000-0001-6896-3725
type: Person
given name: Shabnam
family name: Khodakaramzadeh
name: Shabnam Khodakaramzadeh