Hierarchically nested factor model from multivariate data

DOI10.1209/0295-5075/78/30006MaRDI QIDQ2903645zbMATH OpenOpenAlexFDO

Authors Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna

Publication date 11 August 2012

Published in Europhysics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0511726

zbMATH Keywords

nested factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Nonparametric statistical resampling methods (62G09)

Abstract: We show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarchical clustering procedure is the correlation matrix of a factor model, the hierarchically nested factor model. In this model, factors are mutually independent and hierarchically organized. Finally, we use a bootstrap based procedure to reduce the number of factors in the model with the aim of retaining only those factors significantly robust with respect to the statistical uncertainty due to the finite length of data records.

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