determine_robust_lambda: Help-function for return_robust_lambdaobject().

In eh-in-r/RCTS: Clustering Time Series While Resisting Outliers

Help-function for return_robust_lambdaobject().

Description

Uses the "almost classical lambda" (=matrix where the mean of each row is equal to the classical lambda) to create a robust lambda by using M estimation.

Usage

determine_robust_lambda(
  almost_classical_lambda,
  fastoption = TRUE,
  fastoption2 = FALSE
)

Arguments

almost_classical_lambda	matrix where the mean of each row is equal to the classical lambda
fastoption	Uses nlm() instead of optim(). This is faster.
fastoption2	experimental parameter: can speed nlm() up (10%), but loses accuracy. May benefit from finetuning.

Value

M-estimator of location of the parameter, by minimizing sum of rho()

eh-in-r/RCTS documentation built on May 19, 2023, 1:09 p.m.