Factor Modeling for Clustering High-Dimensional Time Series

DOI10.1080/01621459.2023.2183132MaRDI QIDQ6567919zbMATH OpenFDO

Authors Guangming Pan, Qiwei Yao, Wang Zhou

Publication date 5 July 2024

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/01621459.2023.2183132

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Regime-switching factor models for high-dimensional time series
• Modelling multiple time series via common factors
• Factor modeling for high-dimensional time series: inference for the number of factors
• Factor models in high-dimensional time series -- a time-domain approach
• Modelling high-dimensional time series by generalized linear dynamic factor models: an introductory survey

Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Clustering High-Dimensional Time Series Based on Parallelism
• Clustering of time series data -- a survey
• Clustering time series by linear dependency
• Consistent algorithms for clustering time series
• Discrimination and Clustering for Multivariate Time Series
• Factor modeling for high-dimensional time series: inference for the number of factors
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• Time series clustering and classification
• Time-series data mining

Cited in

(12)

• On structurally grouped approximate factor models
• Tucker tensor factor models: matricization and mode-wise PCA estimation
• tSNE-Spec: a new classification method for multivariate time series data
• Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
• Aggregated Projection Method: A New Approach for Group Factor Model
• Two Sample Test for Covariance Matrices in Ultra-High Dimension
• Matrix-valued factor model with time-varying main effects
• Multilevel matrix factor model
• AR-sieve bootstrap for high-dimensional time series
• Noise variance estimation in a large-dimensional approximate factor model and its application
• Forecasting high-dimensional functional time series with dual-factor structures
• MCA: high-dimensional modal component analysis towards the mode

This page was built for publication: Factor Modeling for Clustering High-Dimensional Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6567919)