calculate_FL_group_estimated

Returns the estimated groupfactorstructure.

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

calculate_FL_group_estimated function

<dl><dt>lg</dt>
<dd>loadings of estimated group factors</dd>
<dt>fg</dt>
<dd>estimated group factors</dd>
<dt>g</dt>
<dd>Vector with estimated group membership for all individuals</dd>
<dt>NN</dt>
<dd>number of time series</dd>
<dt>TT</dt>
<dd>length of time series</dd>
<dt>S</dt>
<dd>number of estimated groups</dd>
<dt>k</dt>
<dd>number of common factors to be estimated</dd>
<dt>kg</dt>
<dd>number of group specific factors to be estimated</dd>
<dt>num_factors_may_vary</dt>
<dd>whether or not the number of groupfactors is constant over all groups or not</dd></dl>

Arguments

Returns the estimated groupfactorstructure. — calculate_FL_group_estimated

<dl>

<dt>lg</dt>
<dd>loadings of estimated group factors</dd>


<dt>fg</dt>
<dd>estimated group factors</dd>


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


<dt>NN</dt>
<dd>number of time series</dd>


<dt>TT</dt>
<dd>length of time series</dd>


<dt>S</dt>
<dd>number of estimated groups</dd>


<dt>k</dt>
<dd>number of common factors to be estimated</dd>


<dt>kg</dt>
<dd>number of group specific factors to be estimated</dd>


<dt>num_factors_may_vary</dt>
<dd>whether or not the number of groupfactors is constant over all groups or not</dd>

</dl>

calculate_FL_group_estimated: Returns the estimated groupfactorstructure.

Description

Usage

Value

Arguments