calculate_errors_virtual_groups: Helpfunction for update_g(). Calculates the errors for one of...

In RCTS: Clustering Time Series While Resisting Outliers

Helpfunction for update_g(). Calculates the errors for one of the possible groups time series can be placed in.

Description

During the updating of group membership, the errorterm is used as the objective function to estimate the group.

Usage

calculate_errors_virtual_groups(
  group,
  LF,
  virtual_grouped_factor_structure,
  NN,
  TT,
  k,
  kg,
  vars_est,
  method_estimate_beta,
  Y,
  X,
  beta_est,
  g
)

Arguments

group	group
LF	NxT-matrix of the common factorstructure
virtual_grouped_factor_structure	list with length the number of groups; every element of the list contains NxT-matrix
NN	number of time series
TT	length of time series
k	number of common factors to be estimated
kg	number of group specific factors to be estimated
vars_est	number of variables that will be included in the algorithm and have their coefficient estimated. This is usually equal to the number of observable variables.
method_estimate_beta	defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".
Y	Y: NxT dataframe with the panel data of interest
X	dataframe with the observed variables
beta_est	estimated values of beta
g	Vector with estimated group membership for all individuals

Value

NxT matrix with the errorterms (=Y minus the estimated factorstructure(s) and minus X*beta)

RCTS documentation built on May 31, 2023, 9:20 p.m.