RCTS: Clustering Time Series While Resisting Outliers

Robust Clustering of Time Series (RCTS) has the functionality to cluster time series using both the classical and the robust interactive fixed effects framework. The classical framework is developed in Ando & Bai (2017) <doi:10.1080/01621459.2016.1195743>. The implementation within this package excludes the SCAD-penalty on the estimations of beta. This robust framework is developed in Boudt & Heyndels (2022) <doi:10.1016/j.ecosta.2022.01.002> and is made robust against different kinds of outliers. The algorithm iteratively updates beta (the coefficients of the observable variables), group membership, and the latent factors (which can be common and/or group-specific) along with their loadings. The number of groups and factors can be estimated if they are unknown.

Version: 0.2.3
Depends: R (≥ 4.1.0)
Imports: stats, magrittr, dplyr, purrr, stringr, tidyr, tibble, ggplot2, ncvreg, robustbase, cellWise, rlang, Rdpack
Suggests: tsqn, doParallel, doSNOW, foreach, mclust, Matrix
Published: 2022-09-14
Author: Ewoud Heyndels ORCID iD [aut, cre]
Maintainer: Ewoud Heyndels <ewoud.heyndels at vub.be>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: RCTS results

Documentation:

Reference manual: RCTS.pdf

Downloads:

Package source: RCTS_0.2.3.tar.gz
Windows binaries: r-devel: RCTS_0.2.2.zip, r-release: RCTS_0.2.3.zip, r-oldrel: RCTS_0.2.3.zip
macOS binaries: r-release (arm64): RCTS_0.2.3.tgz, r-oldrel (arm64): RCTS_0.2.3.tgz, r-release (x86_64): RCTS_0.2.3.tgz, r-oldrel (x86_64): RCTS_0.2.3.tgz
Old sources: RCTS archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=RCTS to link to this page.