Uses the almost classical lambda (this is an object of which the mean equals to the classical lambda) to create a robust lambda by using M estimation
return_robust_lambdaobject(
Y_like_object,
group,
type,
g,
NN,
k,
kg,
comfactor_rrn,
factor_group_rrn,
verbose = FALSE
)Nxk dataframe
this is Y_ster or W or W_j
index of group
scalar which shows in which setting this function is used
vector with group memberships
number of time series
number of common factors
number of group factors
estimated common factors
estimatied group specific factors
when TRUE, it prints messages