calculate_PIC_term1

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_PIC_term1 function

<dl><dt>e</dt>
<dd>NxT matrix with the error terms</dd>
<dt>robust</dt>
<dd>robust or classical estimation</dd></dl>

Arguments

Function to calculate the first term of PIC (panel information criterium) — calculate_PIC_term1

<dl>

<dt>e</dt>
<dd>NxT matrix with the error terms</dd>


<dt>robust</dt>
<dd>robust or classical estimation</dd>

</dl>

calculate_PIC_term1: Function to calculate the first term of PIC (panel information criterium)

Description

Usage

Value

Arguments