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arXiv · 2312.16544

Hierarchical variable clustering based on the predictive strength between random vectors

Sebastian Fuchs·Yuping Wang
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Abstract

A rank-invariant clustering of variables is introduced that is based on the predictive strength between groups of variables, i.e., two groups are assigned a high similarity if the variables in the first group contain high predictive information about the behaviour of the variables in the other group and/or vice versa. The method presented here is model-free, dependence-based and does not require any distributional assumptions. Various general invariance and continuity properties are investigated, with special attention to those that are beneficial for the agglomerative hierarchical clustering procedure. A fully non-parametric estimator is considered whose excellent performance is demonstrated in several simulation studies and by means of real-data examples.

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Sebastian Fuchs, Yuping Wang. 2023-12-27. Hierarchical variable clustering based on the predictive strength between random vectors. https://arxiv.org/abs/2312.16544

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