Factor Modeling for Clustering High-dimensional Time Series

Abstract

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 the flexibility that some time series may not belong to any clusters. The consistency with explicit convergence rates is established for the estimation of the common factors, the cluster-specific factors, and the latent clusters. Numerical illustration with both simulated data as well as a real data example is also reported. As a spin-off, the proposed new approach also advances significantly the statistical inference for the factor model of Lam and Yao (2012).

Speaker

张博，中国科学技术大学特任副教授。2017年于新加坡南洋理工大学获得博士学位。主要研究大维随机矩阵、高维时间序列和复杂网络问题。