generate_Y: Generate panel data Y for simulations.

In RCTS: Clustering Time Series While Resisting Outliers

Generate panel data Y for simulations.

Description

Generate panel data Y for simulations.

Usage

generate_Y(
  NN,
  TT,
  k_true,
  kg_true,
  g_true,
  beta_true,
  lambda_group_true,
  factor_group_true,
  lambda_true,
  comfactor_true,
  eps,
  X
)

Arguments

NN	number of time series
TT	length of time series
k_true	true number of common factors
kg_true	Vector of length the number of groups. Each element contains the true number of group factors for that group.
g_true	vector of length NN with true group memberships
beta_true	true coefficients of the observable variables
lambda_group_true	loadings of the true group specific factors
factor_group_true	true group specific factors
lambda_true	loadings of the true common factors
comfactor_true	true common factors
eps	NN x TT-matrix containing the error term
X	dataframe with the observed variables

Value

NN x TT matrix

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