Supplementary appendix to : Estimation of factors using higher-order multi-cumulants in weak factor models

In this supplementary appendix to the paper Lu et al.(2021) ``Estimation of factors using higher-order multi-cumulants in weak factor models", we first present an overview of several alternative factor estimation and selection approaches. Second, we interpret the alternating least squares algorithm and the decomposition of the higher-order multi-cumulant. Third, we discuss the computational aspects of HFA. Fourth, we provide more robustness checks regarding the alternative specifications of non-normality. Finally, a brief R tutorial for the proposed HFA method is provided. The proposed HFA estimators are available in the open-source software R in the package hofa