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Cluster-Specific Latent Factor Estimation in High-Dimensional Financial Time Series.
Stjepan Begusic
Zvonko Kostanjcar
Published in:
IEEE Access (2020)
Keyphrases
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financial time series
high dimensional
data points
clustering algorithm
stock market
financial data
latent factor models
low dimensional
feature extraction
long term
nearest neighbor
dimensionality reduction
topic models
cluster analysis
high dimensionality
matrix factorization