Add weights as attribute to factor_analyzer #55
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@jbiggsets do you have time to review this? |
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Thank you for this @Xylambda ! Do you happen to have the time to add a test for this change too? If so, that'd be much appreciated! |
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Moved to #59. |
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Some applications require to access the score coefficient component matrix B . These coefficients are used to transform the standardized data into factors by computing F = Z · B, where Z are the standardized data and F the hidden factors.
An example of such use case can be found in the paper Constructing an alternative dollar index to gauge the movements in currency markets.
In this paper, B is used to compute weights for the different indexes.
This pull request attempts to add an attribute to the class
factor_analyzerto allow access to B (weights_).