generate_grouped_factorstructure

Loadings and factors are generated by:
factors ~ N(j * fgr_factor_mean, fgr_factor_sd) -&gt; default case will be N(j, 1)
loadings ~ N(lgr_factor_mean, j * lgr_factor_sd) -&gt; default case will be N(0, j)

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

generate_grouped_factorstructure function

<dl><dt>S</dt>
<dd>true number of groups</dd>
<dt>kg_true</dt>
<dd>vector with as length the number of groups, where each element is the true number of groupfactors of that group.</dd>
<dt>TT</dt>
<dd>length of time series</dd>
<dt>g_true</dt>
<dd>vector of length NN with true group memberships</dd>
<dt>lgr_factor_mean</dt>
<dd>mean of the normal distribution from which the loadings are generated</dd>
<dt>lgr_factor_sd</dt>
<dd>sd of the normal distribution from which the loadings are generated (multiplied by a coefficient for each different group)</dd>
<dt>fgr_factor_mean</dt>
<dd>mean of the normal distribution from which the group specific factors are generated (multiplied by a coefficient for each different group)</dd>
<dt>fgr_factor_sd</dt>
<dd>sd of the normal distribution from which the group specific factors are generated</dd></dl>

Arguments

Generates the true groupfactorstructure, to use in simulations. — generate_grouped_factorstructure

<dl>

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


<dt>kg_true</dt>
<dd>vector with as length the number of groups, where each element is the true number of groupfactors of that group.</dd>


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


<dt>g_true</dt>
<dd>vector of length NN with true group memberships</dd>


<dt>lgr_factor_mean</dt>
<dd>mean of the normal distribution from which the loadings are generated</dd>


<dt>lgr_factor_sd</dt>
<dd>sd of the normal distribution from which the loadings are generated (multiplied by a coefficient for each different group)</dd>


<dt>fgr_factor_mean</dt>
<dd>mean of the normal distribution from which the group specific factors are generated (multiplied by a coefficient for each different group)</dd>


<dt>fgr_factor_sd</dt>
<dd>sd of the normal distribution from which the group specific factors are generated</dd>

</dl>

generate_grouped_factorstructure: Generates the true groupfactorstructure, to use in simulations.

Description

Usage

Value

Arguments