Hierarchically nested factor model from multivariate data

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dc.creatorTumminello, M.
dc.creatorLillo, F.
dc.creatorMantegna, R. N.
dc.date2005-11-30
dc.date2007-04-02
dc.date.accessioned2026-07-07T08:04:23Z
dc.date.available2026-07-07T08:04:23Z
dc.descriptionWe show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarchical clustering procedure is the correlation matrix of a factor model, the hierarchically nested factor model. In this model, factors are mutually independent and hierarchically organized. Finally, we use a bootstrap based procedure to reduce the number of factors in the model with the aim of retaining only those factors significantly robust with respect to the statistical uncertainty due to the finite length of data records.
dc.description7 pages, 5 figures; accepted for publication in Europhys. Lett. ; the Appendix corresponds to the additional material of the accepted letter.
dc.identifierhttps://arxiv.org/abs/cond-mat/0511726
dc.identifierhttp://arxiv.org/abs/cond-mat/0511726
dc.identifierEurophys. Lett. 78, 30006 (2007)
dc.identifierdoi:10.1209/0295-5075/78/30006
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/129941
dc.subjectDisordered Systems and Neural Networks
dc.subjectOther Condensed Matter
dc.titleHierarchically nested factor model from multivariate data
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