run_config: Wrapper around the non-parallel algorithm, to estimate beta,...

In RCTS: Clustering Time Series While Resisting Outliers

Wrapper around the non-parallel algorithm, to estimate beta, group membership and the factorstructures.

Description

The function estimates beta, group membership and the common and group specific factorstructures for one configuration.

Usage

run_config(robust, config, C_candidates, Y, X, choice_pic, maxit = 30)

Arguments

robust	TRUE or FALSE: defines using the classical or robust algorithm to estimate beta
config	contains one configuration of groups and factors
C_candidates	candidates for C (parameter in PIC)
Y	Y: NxT dataframe with the panel data of interest
X	X: NxTxp array containing the observable variables
choice_pic	indicates which PIC to use to estimate the number of groups and factors: options are "pic2017" (uses the PIC of \insertCiteAndo2017;textualRCTS; works better for large N), "pic2016" (\insertCiteAndo2016;textualRCTS; works better for large T) weighs the fourth term with an extra factor relative to the size of the groups, and "pic2022" which shrinks the NT-space where the number of groups and factors would be over- or underestimated compared to pic2016 and pic2017.
maxit	maximum limit for the number of iterations

Value

list with the estimators and metrics for this configuration

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