calculate_virtual_factor_and_lambda_group: Helpfunction used in update_g()

In RCTS: Clustering Time Series While Resisting Outliers

Helpfunction used in update_g()

Description

This function calculates FgLg (the groupfactorstructure) for all possible groups where individual i can be placed. For each group were the groupfactors (Fg) estimated earlier. Now the grouploadings are needed for each group as well. In the classical case these are calculated by Fg*Y/T. In the robust case these are robust.

Usage

calculate_virtual_factor_and_lambda_group(
  group,
  solve_FG_FG_times_FG,
  robust,
  NN_local,
  method_estimate_factors_local,
  g,
  vars_est,
  number_of_group_factors_local,
  number_of_common_factors_local,
  method_estimate_beta,
  factor_group,
  lambda,
  comfactor,
  Y,
  X,
  beta_est,
  verbose = FALSE
)

Arguments

group	number of groups
solve_FG_FG_times_FG	This is the same as groupfactor / T. It is only used in the Classical approach
robust	robust or classical estimation of group membership
NN_local	number of time series
method_estimate_factors_local	specifies the robust algorithm to estimate factors: default is "macro"
g	vector with estimated group membership for all individuals
vars_est	number of variables that are included in the algorithm and have their coefficient estimated. This is usually equal to vars.
number_of_group_factors_local	number of group factors to be estimated
number_of_common_factors_local	number of common factors to be estimated
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".
factor_group	estimated group specific factors
lambda	loadings of the estimated common factors
comfactor	estimated common factors
Y	Y: NxT dataframe with the panel data of interest
X	X: NxTxp array containing the observable variables
beta_est	estimated values of beta
verbose	when TRUE, it prints messages

Value

NxT matrix containing the product of virtual groupfactors and virtual loadings

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