RCTS {RCTS}

RCTS

Description

This package is about clustering time series in a robust manner. The method of Ando & Bai (Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures) is extended to make it robust against contamination, a common issue with real world data. In this package the core functions for the robust approach are included. It also contains a simulated dataset (dataset_Y_dgp3).