OF_vectorized_helpfunction3

Robust Clustering of Time Series (RCTS) has the functionality to cluster time series using both the classical and the robust interactive fixed effects framework.
The classical framework is developed in Ando & Bai (2017) <doi:10.1080/01621459.2016.1195743>. The implementation within this package excludes the SCAD-penalty on the estimations of beta.
This robust framework is developed in Boudt & Heyndels (2022) <doi:10.1016/j.ecosta.2022.01.002> and is made robust against different kinds of outliers.
The algorithm iteratively updates beta (the coefficients of the observable variables), group membership, and the latent factors (which can be common and/or group-specific) along
with their loadings. The number of groups and factors can be estimated if they are unknown.

Ewoud Heyndels

RCTS

Clustering Time Series While Resisting Outliers

OF_vectorized_helpfunction3 function

<dl><dt>i</dt>
<dd>index of individual</dd>
<dt>t</dt>
<dd>index of time</dd>
<dt>XBETA</dt>
<dd>matrixproduct of X and beta_est</dd>
<dt>LF</dt>
<dd>matrixproduct of common factors and its loadings</dd>
<dt>group_memberships</dt>
<dd>Vector with group membership for all individuals</dd>
<dt>lgfg_list</dt>
<dd>product of groupfactors and their loadings; list with length the number of groups</dd>
<dt>Y</dt>
<dd>Y: NxT dataframe with the panel data of interest</dd>
<dt>kg</dt>
<dd>vector containing the number of group factors to be estimated for all groups</dd></dl>

Arguments

Helpfunction in OF_vectorized3() — OF_vectorized_helpfunction3

<dl>

<dt>i</dt>
<dd>index of individual</dd>


<dt>t</dt>
<dd>index of time</dd>


<dt>XBETA</dt>
<dd>matrixproduct of X and beta_est</dd>


<dt>LF</dt>
<dd>matrixproduct of common factors and its loadings</dd>


<dt>group_memberships</dt>
<dd>Vector with group membership for all individuals</dd>


<dt>lgfg_list</dt>
<dd>product of groupfactors and their loadings; list with length the number of groups</dd>


<dt>Y</dt>
<dd>Y: NxT dataframe with the panel data of interest</dd>


<dt>kg</dt>
<dd>vector containing the number of group factors to be estimated for all groups</dd>

</dl>

OF_vectorized_helpfunction3: Helpfunction in OF_vectorized3()

Description

Usage

Value

Arguments