calculate_VCsquared

VC² depends on C (this is the scale parameter in PIC). When VC² is equal to zero, the found number of groups and factors
are the same over the subsamples.

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_VCsquared function

<dl><dt>rcj</dt>
<dd>dataframe containg the numer of groupfactors for all candidate C's and all subsamples</dd>
<dt>rc</dt>
<dd>dataframe containg the numer of common factors for all candidate C's and all subsamples</dd>
<dt>C_candidates</dt>
<dd>candidates for C (parameter in PIC)</dd>
<dt>indices_subset</dt>
<dd>all indices of the subsets</dd>
<dt>Smax</dt>
<dd>maximum allowed number of estimated groups</dd>
<dt>limit_est_groups</dt>
<dd>maximum allowed number of groups that can be estimated</dd></dl>

Arguments

Calculates VC², to determine the stability of the found number of groups and factors over the subsamples. — calculate_VCsquared

<dl>

<dt>rcj</dt>
<dd>dataframe containg the numer of groupfactors for all candidate C's and all subsamples</dd>


<dt>rc</dt>
<dd>dataframe containg the numer of common factors for all candidate C's and all subsamples</dd>


<dt>C_candidates</dt>
<dd>candidates for C (parameter in PIC)</dd>


<dt>indices_subset</dt>
<dd>all indices of the subsets</dd>


<dt>Smax</dt>
<dd>maximum allowed number of estimated groups</dd>


<dt>limit_est_groups</dt>
<dd>maximum allowed number of groups that can be estimated</dd>

</dl>

calculate_VCsquared: Calculates VC², to determine the stability of the found number of groups and factors over the subsamples.

Description

Usage

Value

Arguments

Examples