Factor modeling for clustering high-dimensional time series

• المؤلفون الرئيسيون: Zhang, Bo, Pan, Guangming, Yao, Qiwei, Zhou, Wang
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Science::Mathematics; Eigenanalysis; Idiosyncratic Components
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/172172

We propose a new unsupervised learning method for clustering a large number of time series based on a latent factor structure. Each cluster is characterized by its own cluster-specific factors in addition to some common factors which impact on all the time series concerned. Our setting also offers t...