High-dimensional variable clustering based on sub-asymptotic maxima of a weakly dependent random process - Archive ouverte HAL
Communication Dans Un Congrès Année : 2023

High-dimensional variable clustering based on sub-asymptotic maxima of a weakly dependent random process

Résumé

We propose a new class of models for variable clustering called Asymptotic Independent block (AI-block) models, which defines population-level clusters based on the independence of the maxima of a multivariate stationary mixing random process among clusters. This class of models is identifiable, meaning that there exists a maximal element with a partial order between partitions, allowing for statistical inference. We also present an algorithm for recovering the clusters of variables without specifying the number of clusters \emph{a priori}. Our work provides some theoretical insights into the consistency of our algorithm, demonstrating that under certain conditions it can effectively identify clusters in the data with a computational complexity that is polynomial in the dimension. This implies that groups can be learned nonparametrically in which block maxima of a dependent process are only sub-asymptotic. To further illustrate the significance of our work, we applied our method to neuroscience and environmental real-datasets. These applications highlight the potential and versatility of the proposed approach.
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hal-04397145 , version 1 (23-01-2024)

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  • HAL Id : hal-04397145 , version 1

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Alexis Boulin, Elena Di Bernardino, Thomas Laloë, Gwladys Toulemonde. High-dimensional variable clustering based on sub-asymptotic maxima of a weakly dependent random process. ICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal. ⟨hal-04397145⟩
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