{"id":4064,"date":"2025-11-28T09:22:53","date_gmt":"2025-11-28T12:22:53","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppge\/?p=4064"},"modified":"2025-11-28T09:22:53","modified_gmt":"2025-11-28T12:22:53","slug":"seminario-de-pesquisa-03-12","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppge\/seminario-de-pesquisa-03-12\/","title":{"rendered":"Semin\u00e1rio de Pesquisa 03\/12"},"content":{"rendered":"\n
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Semin\u00e1rio de Pesquisa 03\/12<\/h2>\n\n\n\n

Deixe um coment\u00e1rio<\/a> \/ Economia Aplicada<\/a>, Semin\u00e1rios de Pesquisa<\/a> \/ Por Helena Camillo<\/p>\n\n\n\n

Ocorrer\u00e1 no dia\u00a003\/12\/2025, quarta-feira, \u00e0s 14h<\/strong>\u00a0na sala\u00a0402 \u2013 FCE<\/strong>,\u00a0o Semin\u00e1rio de Pesquisa\u00a0\u201cClustering of High-Dimensional Functional Time Series<\/strong><\/strong><\/strong><\/strong>\u201d<\/strong>, na \u00e1rea de Economia Aplicada, ministrado pelo Prof. Klaus Boesch (UFRGS \/ IFSul – Charqueadas)<\/em>.<\/p>\n\n\n\n

Resumo:<\/strong><\/p>\n\n\n\n

Analysing large, high-dimensional time series such as global yield curves poses substantial methodological and computational challenges. We propose a robust two-stage clustering framework tailored for high-dimensional functional time series (FTS), addressing an important gap between the clustering literature and functional time series research. Our approach combines a generalised principal components analysis (GPCA) of lag-covariance operators for dimension reduction with subsequent clustering of the estimated factor loadings, using both standard and robust clustering algorithms. This strategy exploits the latent factor structure to capture temporal dependence and to obtain a compact representation of the multivariate functional structure. A Monte Carlo study spanning a range of signal-to-noise ratios and contamination levels compares the proposed estimators with traditional benchmarks. It shows that GPCA-based methods achieve accurate subspace recovery and superior clustering performance, particularly in robust clustering implementations under challenging scenarios with outliers. Applied to daily government bond yield curves from 31 countries (2013\u20132022), the framework yields a stable partition into six economically interpretable clusters, separating advanced, resource-dependent, and several groups of emerging and structurally distinct economies.<\/p>\n","protected":false},"excerpt":{"rendered":"

Semin\u00e1rio de Pesquisa 03\/12 Deixe um coment\u00e1rio \/ Economia Aplicada, Semin\u00e1rios de Pesquisa \/ Por Helena Camillo Ocorrer\u00e1 no dia\u00a003\/12\/2025, quarta-feira, \u00e0s 14h\u00a0na sala\u00a0402 \u2013 FCE,\u00a0o Semin\u00e1rio de Pesquisa\u00a0\u201cClustering of High-Dimensional Functional Time Series\u201d, na \u00e1rea de Economia Aplicada, ministrado pelo Prof. Klaus Boesch (UFRGS \/ IFSul – Charqueadas). Resumo: Analysing large, high-dimensional time series such as global yield curves […]<\/p>\n","protected":false},"author":6,"featured_media":4065,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"disabled","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[9,3],"tags":[],"class_list":["post-4064","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-economia-aplicada","category-seminarios"],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4064","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/comments?post=4064"}],"version-history":[{"count":2,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4064\/revisions"}],"predecessor-version":[{"id":4345,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/4064\/revisions\/4345"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media\/4065"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media?parent=4064"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/categories?post=4064"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/tags?post=4064"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}