calculate_lgfg: Calculates the group factor structure: the matrix product of...

In RCTS: Clustering Time Series While Resisting Outliers

Calculates the group factor structure: the matrix product of the group factors and their loadings.

Description

Returns list (with as length the number of groups) with lgfg (product of grouploadings and groupfactors). Each element of the list with the assumption that all individuals are in the same group k. This function is used to speed up code.

Usage

calculate_lgfg(
  lambda_group,
  factor_group,
  S,
  k,
  kg,
  num_factors_may_vary,
  NN,
  TT
)

Arguments

lambda_group	loadings of the estimated group specific factors
factor_group	estimated group specific factors
S	number of groups
k	number of common factors
kg	vector with the number of group specific factors for each group
num_factors_may_vary	whether or not the number of groupfactors is constant over all groups or not
NN	number of time series
TT	length of time series

Value

list with S elements: each element contains a matrix with NN rows and TT columns with the estimated group factor structure of this particular group

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