return_robust_lambdaobject {RCTS}

Calculates robust loadings

Description

Uses the almost classical lambda (this is an object of which the mean equals to the classical lambda) to create a robust lambda by using M estimation

Usage

return_robust_lambdaobject(
  Y_like_object,
  group,
  type,
  g,
  NN,
  k,
  kg,
  comfactor_rrn,
  factor_group_rrn,
  verbose = FALSE
)

Arguments

Y_like_object

this is Y_ster or W or W_j

group

index of group

type

scalar which shows in which setting this function is used

g

vector with group memberships

NN

number of time series

k

number of common factors

kg

number of group factors

comfactor_rrn

estimated common factors

factor_group_rrn

estimatied group specific factors

verbose

when TRUE, it prints messages

Value

Nxk dataframe