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    Factor modeling for clustering high-dimensional time series by Zhang, Bo, Pan, Guangming, Yao, Qiwei, Zhou, Wang

    Published 2023
    “…Numerical illustration with both simulated data as well as a real data example is also reported. As a spin-off, the proposed new approach also advances significantly the statistical inference for the factor model of Lam and Yao. …”
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    Journal Article
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