GrFA

Implements statistical methods for group factor analysis, focusing on estimating the number of global and local factors and extracting them. Several algorithms are implemented, including Canonical Correlation-based Estimation by Choi et al. (2021) doi:10.1016/j.jeconom.2021.09.008, Generalised Canonical Correlation Estimation by Lin and Shin (2023) doi:10.2139/ssrn.4295429, Circularly Projected Estimation by Chen (2022) doi:10.1080/07350015.2022.2051520, and the Aggregated Projection Method by Hu et al. (2025) doi:10.1080/01621459.2025.2491154.

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