Hierarchical variable clustering using singular value decomposition

08/13/2023

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by   Jan O. Bauer, et al.

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In this work, we present a novel method for hierarchically variable clustering using singular value decomposition. Our proposed approach provides a non-parametric solution to identify block diagonal patterns in covariance (correlation) matrices, thereby grouping variables according to their dissimilarity. We explain the methodology and outline the incorporation of linkage functions to assess dissimilarities between clusters. To validate the efficiency of our method, we perform both a simulation study and an analysis of real-world data. Our findings show the approach's robustness. We conclude by discussing potential extensions and future directions for research in this field. Supplementary materials for this article can be accessed online.