generate_grouped_factorstructure {RCTS}

Generates the true groupfactorstructure, to use in simulations.

Description

Loadings and factors are generated by: factors ~ N(j * fgr_factor_mean, fgr_factor_sd) -> default case will be N(j, 1) loadings ~ N(lgr_factor_mean, j * lgr_factor_sd) -> default case will be N(0, j)

Usage

generate_grouped_factorstructure(
  S,
  kg_true,
  TT,
  g_true,
  lgr_factor_mean = 0,
  lgr_factor_sd = 1,
  fgr_factor_mean = 1,
  fgr_factor_sd = 1
)

Arguments

S

true number of groups

kg_true

vector with as length the number of groups, where each element is the true number of groupfactors of that group.

TT

length of time series

g_true

vector of length NN with true group memberships

lgr_factor_mean

mean of the normal distribution from which the loadings are generated

lgr_factor_sd

sd of the normal distribution from which the loadings are generated (multiplied by a coefficient for each different group)

fgr_factor_mean

mean of the normal distribution from which the group specific factors are generated (multiplied by a coefficient for each different group)

fgr_factor_sd

sd of the normal distribution from which the group specific factors are generated

Value

list: first element contains the true group specific factors and the second element contains the corresponding loadings