# statsmodels.multivariate.factor_rotation.procrustes¶

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

Analytically solves the following Procrustes problem:

$\phi(L) =\frac{1}{2}\|AT-H\|^2.$

(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
Anumpy matrix

non rotated factors

Hnumpy matrix

target matrix

full_rankboolean (default False)

if set to true full rank is assumed

Returns
The matrix :math:T.

References

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