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Correlation networks, dynamic factor models and community detection

Shankar Bhamidi · Dhruv Patel · Vladas Pipiras · Guorong Wu首次提交 2023-07-19 · 修订 2023-07-19 · v1arXiv预印本

相关网络、动态因子模型与社区检测AI 解读

A dynamic factor model with a mixture distribution of the loadings is introduced and studied for multivariate, possibly high-dimensional time series. The correlation matrix of the model exhibits a block structure, reminiscent of correlation patterns for many real multivariate time series. A standard $k$ -means algorithm on the loadings estimated through principal components is used to cluster component time series into communities with accompanying bounds on the misclustering…A dynamic factor model with a mixture distribution of the loadings is introduced and studied for multivariate, possibly high-dimensional time series. The correlation matrix of the model exhibits a block structure, reminiscent of correlation patterns for many real multivariate time series. A standard $k$-means algorithm on the loadings estimated through principal components is used to cluster component time series into communities with accompanying bounds on the misclustering…

宏观 · 时间序列空间与网络高维与机器学习

关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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