Open aghosh19 opened 5 years ago
PC is a finite sample corrected information criterion. Whether PC or MSPE is better is still under investigation. Licheng, could you update a version in which users can choose which criterion to use? The default should still be MSPE.
Best, Yiqing
On Thu, Mar 7, 2019 at 10:26 AM aghosh19 notifications@github.com wrote:
Hi, is the PC criterion in the cross validation, Principal Component criterion of factor selection? Is there an order in which the factor number is selected? That is, min MSPE> min PC> min IC? The vignette is not very specific on this. Thank you very much.
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Hi, is the PC criterion in the cross validation, Principal Component criterion of factor selection? Is there an order in which the factor number is selected? That is, min MSPE> min PC> min IC? The vignette is not very specific on this. Thank you very much.