RCTS (version 0.2.4)

adapt_pic_with_sigma2maxmodel: Adapts the object that contains PIC for all candidate C's and all subsamples with sigma2_max_model.

Description

The PIC is calculated with a sigma2 specific to the configuration (= number of groups and factors). Because the method to estimate the number of groups and factors requires sigma2 to be equal over all configurations (see proofs of different papers of Ando/Bai) we replace sigma2 by the sigma2 of the configuration with maximum number of groups and factors (this is the last one that was executed).

Usage

adapt_pic_with_sigma2maxmodel(df, df_results, sigma2_max_model)

Value

data.frame of same size as df

Arguments

df

contains PIC for all candidate C's and all subsamples

df_results

dataframe with results for each estimated configuration

sigma2_max_model

sigma2 of model with maximum number of groups and factors

Examples

set.seed(1)
df_pic <- data.frame(matrix(rnorm(4 * 50), nrow = 4)) #4 configuration / 50 candidate values for C
df_results <- data.frame(sigma2 = rnorm(4))
pic_sigma2 <- 3.945505
adapt_pic_with_sigma2maxmodel(df_pic, df_results, pic_sigma2)