statsmodels.multivariate.factor_rotation.procrustes

statsmodels.multivariate.factor_rotation.procrustes(A, H)[source]

Analytically solves the following Procrustes problem:

ϕ(L)=12

(With no further conditions on H)

Under the assumption that A^*H has full rank, the analytical solution T is given by:

T = (A^*HH^*A)^{-\frac{1}{2}}A^*H,

see Navarra, Simoncini (2010).

Parameters:
  • A (numpy matrix) – non rotated factors
  • H (numpy matrix) – target matrix
  • full_rank (boolean (default False)) – if set to true full rank is assumed
Returns:

Return type:

The matrix T.

References

[1] Navarra, Simoncini (2010) - A guide to emprirical orthogonal functions for climate data analysis