calculate_lgfg {RCTS}

Calculates the group factor structure: the matrix product of the group factors and their loadings.

Description

Returns list (with as length the number of groups) with lgfg (product of grouploadings and groupfactors). Each element of the list with the assumption that all individuals are in the same group k. This function is used to speed up code.

Usage

calculate_lgfg(
  lambda_group,
  factor_group,
  S,
  k,
  kg,
  num_factors_may_vary,
  NN,
  TT
)

Arguments

lambda_group

loadings of the estimated group specific factors

factor_group

estimated group specific factors

S

number of groups

k

number of common factors

kg

vector with the number of group specific factors for each group

num_factors_may_vary

whether or not the number of groupfactors is constant over all groups or not

NN

number of time series

TT

length of time series

Value

list with S elements: each element contains a matrix with NN rows and TT columns with the estimated group factor structure of this particular group