R package: GraphClustAR
Install the package in R
library(devtools) install_github("allenkei/GraphClustAR") library(GraphClustAR)
Demonstration
ts_data <- gen_ar1_by_cluster(cluster_sizes = c(1000, 1000, 1000), n = 300, seed=123) graph_data <- gen_weighted_block_graph(cluster_sizes = c(1000, 1000, 1000), seed=123) TS_by_node <- ts_data$TS_by_node adj_w <- graph_data$adj_w result <- GraphClustARp(TS_by_node, adj_w, lag_p=1, num_clust_list=2:7, lambda_list=c(0.1,0.25,0.5,0.75,1), ADMM_iter=100) result$lambda result$K plot(result$ADMM_output$phi, col=result$cluster)