Factor Modeling for Clustering High-Dimensional Time Series

DOI10.1080/01621459.2023.2183132zbMATH Open1547.62101MaRDI QIDQ6567919FDOQ6567919

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)

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Mathematics Subject Classification ID

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

Cites Work

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

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