2025-02-28 ~ 2025-03-21Time Series Analysis MinicourseLecturer: Tao Jin (金涛, Visiting Scholar)Weekday: FriTime: 09:50-12:15Venue: A3-3-301Zoom: 435 529 7909Password: BIMSAIntroductionTime series analysis is one of the major fields of econometrics, which has been viewed as “empirical macroeconomics” by many economists. As time series data and modelling dynamics become increasingly important,...
AbstractWe 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...