calculate_lgfg

Returns list (with as length the number of groups) with lgfg (product of grouploadings and groupfactors).
Each element of the list with the assumption that all individuals are in the same group k.
This function is used to speed up code.

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_lgfg function

<dl><dt>lambda_group</dt>
<dd>loadings of the estimated group specific factors</dd>
<dt>factor_group</dt>
<dd>estimated group specific factors</dd>
<dt>S</dt>
<dd>number of groups</dd>
<dt>k</dt>
<dd>number of common factors</dd>
<dt>kg</dt>
<dd>vector with the number of group specific 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>NN</dt>
<dd>number of time series</dd>
<dt>TT</dt>
<dd>length of time series</dd></dl>

Arguments

Calculates the group factor structure: the matrix product of the group factors and their loadings. — calculate_lgfg

<dl>

<dt>lambda_group</dt>
<dd>loadings of the estimated group specific factors</dd>


<dt>factor_group</dt>
<dd>estimated group specific factors</dd>


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


<dt>k</dt>
<dd>number of common factors</dd>


<dt>kg</dt>
<dd>vector with the number of group specific 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>NN</dt>
<dd>number of time series</dd>


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

</dl>

calculate_lgfg: Calculates the group factor structure: the matrix product of the group factors and their loadings.

Description

Usage

Value

Arguments