Hierarchically nested factor model from multivariate data

DOI10.1209/0295-5075/78/30006zbMATH Open1244.62087arXivcond-mat/0511726OpenAlexW3101852161MaRDI QIDQ2903645FDOQ2903645

Authors: Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna 

Publication date: 11 August 2012

Published in: Europhysics Letters (Search for Journal in Brave)

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.

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

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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)

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