Clustering Time Series While Resisting Outliers

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Documentation for package ‘RCTS’ version 0.2.4

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adapt_pic_with_sigma2maxmodel Adapts the object that contains PIC for all candidate C's and all subsamples with sigma2_max_model.
adapt_X_estimating_less_variables When running the algorithm with a different number of observable variables then the number that is available, reformat X. (Mainly used for testing)
add_configuration Adds the current configuration (number of groups and factors) to df_results.
add_metrics Adds several metrics to df_results.
add_pic Fills in df_pic: adds a row with the calculated PIC for the current configuration.
add_pic_parallel Calculates the PIC for the current configuration.
beta_true_heterogroups Helpfunction in create_true_beta() for the option beta_true_heterogeneous_groups. (This is the default option.)
calculate_best_config Function that returns for each candidate C the best number of groups and factors, based on the PIC.
calculate_errors_virtual_groups Helpfunction for update_g(). Calculates the errors for one of the possible groups time series can be placed in.
calculate_error_term Calculates the error term Y - X*beta_est - LF - LgFg.
calculate_FL_group_estimated Returns the estimated groupfactorstructure.
calculate_FL_group_true Calculate the true groupfactorstructure.
calculate_lambda calculates factor loadings of common factors
calculate_lambda_group calculates factor loadings of groupfactors
calculate_lgfg Calculates the group factor structure: the matrix product of the group factors and their loadings.
calculate_obj_for_g Calculates objective function for individual i and group k in order to estimate group membership.
calculate_PIC Function to determine PIC (panel information criterium)
calculate_PIC_term1 Function to calculate the first term of PIC (panel information criterium)
calculate_sigma2 Calculates sum of squared errors, divided by NT
calculate_sigma2maxmodel Calculates sigma2maxmodel
calculate_TN_factor Helpfunction. Calculates part of the 4th term of the PIC.
calculate_VCsquared Calculates VC², to determine the stability of the found number of groups and factors over the subsamples.
calculate_virtual_factor_and_lambda_group Helpfunction used in update_g()
calculate_W Calculates W = Y - X*beta_est. It is used in the initialization step of the algorithm, to initialise the factorstructures.
calculate_XB_estimated Calculates (the estimated value of) the matrix X*beta_est.
calculate_XB_true Calculates the product of X*beta_true .
calculate_Z_common Calculates Z = Y - X*beta_est - LgFg. It is used in the estimate of the common factorstructure.
calculate_Z_group Calculates Z = Y - X*beta_est - LF. It is used to estimate the groupfactorstructure.
check_stopping_rules Checks the rules for stopping the algorithm, based on its convergence speed.
clustering_with_robust_distances Function that puts individuals in a separate "class zero", when their distance to all possible groups is bigger then a certain threshold.
create_covMat_crosssectional_dependence Function used in generating simulated data with non normal errors.
create_data_dgp2 Creates an instance of DGP 2, as defined in Boudt and Heyndels (2022).
create_true_beta Creates beta_true, which contains the true values of beta (= the coefficients of X)
define_configurations Constructs dataframe where the rows contains all configurations that are included and for which the estimators will be estimated.
define_C_candidates Defines the candidate values for C.
define_kg_candidates Defines the set of combinations of group specific factors.
define_number_subsets Returns a vector with the indices of the subsets. Must start with zero.
define_object_for_initial_clustering_macropca Defines the object that will be used to define a initial clustering.
define_rho_parameters Determines parameters of rho-function.
determine_beta Helpfunction in estimate_beta() for estimating beta_est.
determine_robust_lambda Help-function for return_robust_lambdaobject().
df_results_example An example for df_results. This dataframe contains the estimators for each configuration.
do_we_estimate_common_factors Helpfunction to shorten code: are common factors being estimated.
do_we_estimate_group_factors Helpfunction to shorten code: are group factors being estimated.
estimate_algorithm This function is a wrapper around the initialization and the estimation part of the algorithm, for one configuration. It is only used for the serialized algorithm.
estimate_beta Estimates beta.
estimate_factor Estimates common factor(s) F.
estimate_factor_group Estimates group factors Fg.
evade_crashes_macropca Solves a very specific issue with MacroPCA.
evade_floating_point_errors Function to evade floating point errors.
factor_group_true_dgp3 factor_group_true_dgp3 contains the values of the true group factors on which Y_dgp3 is based
fill_rc Fills in the optimized number of common factors for each C.
fill_rcj Fills in the optimized number of groups and group specific factors for each C.
final_estimations_filter_kg Filters dataframe on the requested group specific factors configuration.
generate_grouped_factorstructure Generates the true groupfactorstructure, to use in simulations.
generate_Y Generate panel data Y for simulations.
get_best_configuration Finds the first stable interval after the first unstable point. It then defines the value for C for the begin, middle and end of this interval.
get_convergence_speed Defines the convergence speed.
get_final_estimation Function that returns the final clustering, based on the estimated number of groups and common and group specific factors.
grid_add_variables Function which is used to have a dataframe (called "grid") with data (individualindex, timeindex, XT and LF) available.
g_true_dgp3 g_true_dgp3 contains the true group memberships of the elements of Y_dgp3
handleNA Function with as input a dataframe. (this will be "Y" or "to_divide") It filters out rows with NA.
handleNA_LG Removes NA's in LG (in function calculate_virtual_factor_and_lambda_group() )
handle_macropca_errors Helpfunction in robustpca().
initialise_beta Initialisation of estimation of beta (the coefficients with the observable variables)
initialise_clustering Function that clusters time series in a dataframe with kmeans.
initialise_commonfactorstructure_macropca Initialises the estimation of the common factors and their loadings.
initialise_df_pic Initialises a dataframe which will contain the PIC for each configuration and for each value of C.
initialise_df_results Initialises a dataframe that will contain an overview of metrics for each estimated configuration (for example adjusted randindex).
initialise_rc Initialises rc.
initialise_rcj Initialises rcj.
initialise_X Creates X (the observable variables) to use in simulations.
iterate Wrapper around estimate_beta(), update_g(), and estimating the factorstructures.
kg_candidates_expand Function that returns the set of combinations of groupfactors for which the algorithm needs to run.
lambda_group_true_dgp3 lambda_group_true_dgp3 contains the values of the loadings to the group factors on which Y_dgp3 is based
LMROB Wrapper around lmrob.
make_df_pic_parallel Makes a dataframe with the PIC for each configuration and each candidate C.
make_df_results_parallel Makes a dataframe with information on each configuration.
make_subsamples Selects a subsample of the time series, and of the length of the time series. Based on this it returns a list with a subsample of Y, the corresponding subsample of X and of the true group membership and factorstructures if applicable.
matrixnorm Function to calculate the norm of a matrix.
OF_vectorized3 Calculates objective function for the classical algorithm: used in iterate() and in local_search.
OF_vectorized_helpfunction3 Helpfunction in OF_vectorized3()
parallel_algorithm Wrapper of the loop over the subsets which in turn use the parallelised algorithm.
plot_VCsquared Plots expression(VC^2) along with the corresponding number of groups (orange), common factors (darkblue) and group factors of the first group (lightblue).
prepare_for_robpca Helpfunction: prepares object to perform robust PCA on.
RCTS RCTS
reassign_if_empty_groups Randomly reassign individual(s) if there are empty groups. This can happen if the total number of time series is low compared to the number of desired groups.
restructure_X_to_order_slowN_fastT Restructures X (which is an 3D-array of dimensions (N,T,p) to a 2D-matrix of dimension (NxT,p).
return_robust_lambdaobject Calculates robust loadings
robustpca Function that uses robust PCA and estimates robust factors and loadings.
run_config Wrapper around the non-parallel algorithm, to estimate beta, group membership and the factorstructures.
scaling_X Scaling of X.
solveFG Helpfunction in update_g(), to calculate solve(FG x t(FG)) x FG
tabulate_potential_C Shows the configurations for potential C's of the first stable interval (beginpoint, middlepoint and endpoint)
update_g Function that estimates group membership.
X_dgp3 The dataset X_dgp3 contains the values of the 3 observable variables on which Y_dgp3 is based.
Y_dgp3 Y_dgp3 contains a simulated dataset for DGP 3.