define_rho_parameters

Robust updating of group membership is based on a rho function (instead of the non-robust quadratic function) on the norm of the errors.
This requires parameters of location and scale.
They are defined here (currently as median and madn).
This function is applied on the estimated errors: Y - XB - FL - FgLg.
This function is used in update_g().

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

define_rho_parameters function

<dl><dt>object</dt>
<dd>input</dd></dl>

Arguments

Determines parameters of rho-function. — define_rho_parameters

<dl>

<dt>object</dt>
<dd>input</dd>

</dl>

define_rho_parameters: Determines parameters of rho-function.

Description

Usage

Value

Arguments