Y_dgp3

<p>Y = XB + LgFg. It has 3 groups and each group has 3 groupfactors.
At last there were 3 observable variables generated into it.</p>

datasets

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

Y_dgp3 function

<p>300 x 30 matrix. Each row is one time series.</p>

Y_dgp3: Y_dgp3 contains a simulated dataset for DGP 3.

Description

Usage

Arguments

Format

Examples