statsmodels.multivariate.factor.Factor.fit

Factor.fit(maxiter=50, tol=1e-08, start=None, opt_method='BFGS', opt=None, em_iter=3)[source]

Estimate factor model parameters.

Parameters:

maxiter : int

Maximum number of iterations for iterative estimation algorithms

tol : float

Stopping criteria (error tolerance) for iterative estimation algorithms

start : array_like

Starting values, currently only used for ML estimation

opt_method : str

Optimization method for ML estimation

opt : dict-like

Keyword arguments passed to optimizer, only used for ML estimation

em_iter : int

The number of EM iterations before starting gradient optimization, only used for ML estimation.

Returns:

results: FactorResults