df_results_example

An example for df_results. This dataframe contains the estimators for each configuration.

datasets

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

df_results_example function

Dataframe with 4 rows (one for each configuration) and 11 columns:<dl>
<dt>S</dt>
<dd>number of groups</dd><dt>k_common</dt>
<dd>number of common factors</dd><dt>k1</dt>
<dd>number of group specific factors in group 1</dd><dt>k2</dt>
<dd>number of group specific factors in group 2</dd><dt>k3</dt>
<dd>number of group specific factors in group 3</dd><dt>g</dt>
<dd>estimated group membership</dd><dt>beta_est</dt>
<dd>estimated beta</dd><dt>factor_group</dt>
<dd>estimated group specific factors</dd><dt>lambda_group</dt>
<dd>estimated loadings to the group specific factors</dd><dt>comfactor</dt>
<dd>estimated common factors</dd><dt>lambda_group</dt>
<dd>estimated loadings to the common factors</dd>
</dl>

Format

An example for df_results. This dataframe contains the estimators for each configuration. — df_results_example

Dataframe with 4 rows (one for each configuration) and 11 columns:<dl>
<dt>S</dt>
<dd>number of groups</dd>

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

<dt>k1</dt>
<dd>number of group specific factors in group 1</dd>

<dt>k2</dt>
<dd>number of group specific factors in group 2</dd>

<dt>k3</dt>
<dd>number of group specific factors in group 3</dd>

<dt>g</dt>
<dd>estimated group membership</dd>

<dt>beta_est</dt>
<dd>estimated beta</dd>

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

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

<dt>comfactor</dt>
<dd>estimated common factors</dd>

<dt>lambda_group</dt>
<dd>estimated loadings to the common factors</dd>


</dl>

df_results_example: An example for df_results. This dataframe contains the estimators for each configuration.

Description

Usage

Arguments

Format