【演講轉知】清大理學院/統計所敬邀師生參加112/4/7蔡瑞胸院士演講
應理學院50週年院慶，理學院及統計所於4月7日(五)下午15：00敬邀蔡瑞胸院士於本校第三綜合大樓8樓837室演講，歡迎各位老師及同學參加。
題 目：A Testing Approach to Clustering High-Dimensional Time Series
主講人：Prof. Ruey S. Tsay（Booth School of Business, University of Chicago）
時 間：112年4月7日 (星期五) 下午 15：00 - 16：00
地 點：清大第三綜合大樓8樓837室
演講直播連結: https://meet.google.com/pae-eftb-ugw (演講於15:00開始，線上與會者請於4/7當天下午14:40可開始進入會議)
Abstract
This talk considers clustering stationary scalar time series using their marginal properties and a hierarchical method. Two major issues involved are to detect the existence of clusters and to determine their number. We propose a new test statistic for detecting whether a data set consists of multiple clusters and a new procedure to determine the number of clusters.The proposed method is based on the jumps, i.e., the increments, in the heights of the dendrogram when a hierarchical clustering is applied to the data. We use autoregressive sieve bootstrap to obtain a reference distribution of the test statistics and propose an iterative procedure to find the number of clusters. The clusters found are internally homogeneous according to the test statistics used in the analysis. The performance of the proposed procedure in finite samples is investigated by Monte Carlo simulations and illustrated by some empirical examples. Comparisons with some existing methods for selecting the number of clusters are also investigated. (Joint with Daniel Pena, Uniersidad Carlos III de Madrid, Spain)
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