Search results for "Multivariate serie"

Statistically validated hierarchical clustering: Nested partitions in hierarchical trees

2022

We develop an algorithm that is fast and scalable in the detection of a nested partition extracted from a dendrogram that is obtained from hierarchical clustering of a multivariate series. Our algorithm provides a -value for each clade observed in the hierarchical tree. The -value is obtained by computing many bootstrap replicas of the dissimilarity matrix and by performing a statistical test on each difference between the dissimilarity associated with a given clade and the dissimilarity of the clade of its parent node. We prove the efficacy of our algorithm with a set of benchmarks generated by a hierarchically nested factor model. We compare results obtained by our algorithm with those of…