calculate_FL_group_true

Calculate the true 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_true function

<dl><dt>lgt</dt>
<dd>true group factor loadings</dd>
<dt>fgt</dt>
<dd>true group factors</dd>
<dt>g_true</dt>
<dd>vector of length NN with true group memberships</dd>
<dt>NN</dt>
<dd>number of time series</dd>
<dt>TT</dt>
<dd>length of time series</dd>
<dt>S_true</dt>
<dd>true number of groups</dd>
<dt>k_true</dt>
<dd>true number of common factors</dd>
<dt>kg_true</dt>
<dd>true number of group factors for each group</dd>
<dt>num_factors_may_vary</dt>
<dd>whether or not the number of groupfactors is constant over all groups or not</dd>
<dt>dgp1_AB_local</dt>
<dd>gives information about which DGP we use; TRUE of FALSE</dd></dl>

Arguments

Calculate the true groupfactorstructure. — calculate_FL_group_true

<dl>

<dt>lgt</dt>
<dd>true group factor loadings</dd>


<dt>fgt</dt>
<dd>true group factors</dd>


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


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


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


<dt>S_true</dt>
<dd>true number of groups</dd>


<dt>k_true</dt>
<dd>true number of common factors</dd>


<dt>kg_true</dt>
<dd>true number of group factors for each group</dd>


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


<dt>dgp1_AB_local</dt>
<dd>gives information about which DGP we use; TRUE of FALSE</dd>

</dl>

calculate_FL_group_true: Calculate the true groupfactorstructure.

Description

Usage

Value

Arguments