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

Mathematics Subject Classification ID

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

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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

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