calculate_XB_true

Calculates the product of X*beta_true .

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_XB_true function

<dl><dt>X</dt>
<dd>X: NxTxp array containing the observable variables</dd>
<dt>beta_true</dt>
<dd>true coefficients of the observable variables</dd>
<dt>g</dt>
<dd>Vector with estimated group membership for all individuals</dd>
<dt>g_true</dt>
<dd>true group membership</dd>
<dt>method_estimate_beta</dt>
<dd>defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".</dd></dl>

Arguments

Calculates the product of X*beta_true . — calculate_XB_true

<dl>

<dt>X</dt>
<dd>X: NxTxp array containing the observable variables</dd>


<dt>beta_true</dt>
<dd>true coefficients of the observable variables</dd>


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


<dt>g_true</dt>
<dd>true group membership</dd>


<dt>method_estimate_beta</dt>
<dd>defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".</dd>

</dl>

calculate_XB_true: Calculates the product of X*beta_true .

Description

Usage

Value

Arguments