add_metrics

Adds several metrics to df_results.

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

add_metrics function

<dl><dt>df_results</dt>
<dd>dataframe with results for each estimated configuration</dd>
<dt>index_configuration</dt>
<dd>index of the configuration of groups and factors</dd>
<dt>pic_sigma2</dt>
<dd>sum of squared errors divided by NT</dd>
<dt>beta_est</dt>
<dd>estimated values of beta</dd>
<dt>g</dt>
<dd>Vector with estimated group membership for all individuals</dd>
<dt>comfactor</dt>
<dd>estimated common factors</dd>
<dt>lambda</dt>
<dd>loadings of the estimated common factors</dd>
<dt>factor_group</dt>
<dd>estimated group specific factors</dd>
<dt>lambda_group</dt>
<dd>loadings of the estimated group specific factors</dd>
<dt>iteration</dt>
<dd>number of iteration</dd>
<dt>g_true</dt>
<dd>vector of length NN with true group memberships</dd>
<dt>add_rand</dt>
<dd>adds the adjusted randindex to the df (requires the mclust package); used for simulations</dd></dl>

Arguments

Adds several metrics to df_results. — add_metrics

<dl>

<dt>df_results</dt>
<dd>dataframe with results for each estimated configuration</dd>


<dt>index_configuration</dt>
<dd>index of the configuration of groups and factors</dd>


<dt>pic_sigma2</dt>
<dd>sum of squared errors divided by NT</dd>


<dt>beta_est</dt>
<dd>estimated values of beta</dd>


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


<dt>comfactor</dt>
<dd>estimated common factors</dd>


<dt>lambda</dt>
<dd>loadings of the estimated common factors</dd>


<dt>factor_group</dt>
<dd>estimated group specific factors</dd>


<dt>lambda_group</dt>
<dd>loadings of the estimated group specific factors</dd>


<dt>iteration</dt>
<dd>number of iteration</dd>


<dt>g_true</dt>
<dd>vector of length NN with true group memberships</dd>


<dt>add_rand</dt>
<dd>adds the adjusted randindex to the df (requires the mclust package); used for simulations</dd>

</dl>

add_metrics: Adds several metrics to df_results.

Description

Usage

Value

Arguments

Examples