TNStream: Applying Tightest Neighbors to Micro-Clusters to Define Multi-Density Clusters in Streaming Data

In data stream clustering, systematic theory of stream clustering algorithms remains relatively scarce. Recently, density-based methods have gained attention. However, existing algorithms struggle to simultaneously handle arbitrarily shaped, multi-density, high-dimensional data while maintaining strong outlier resistance. Clustering quality significantly deteriorates when data density varies complexly. This paper proposes a clustering algorithm based on the novel concept of Tightest Neighbors and introduces a data stream clustering theory based on the Skeleton Set. Based on these theories, this paper develops a new method, TNStream, a fully online algorithm. The algorithm adaptively determines the clustering radius based on local similarity, summarizing the evolution of multi-density data streams in micro-clusters. It then applies a Tightest Neighbors-based clustering algorithm to form final clusters. To improve efficiency in high-dimensional cases, Locality-Sensitive Hashing (LSH) is employed to structure micro-clusters, addressing the challenge of storing k-nearest neighbors. TNStream is evaluated on various synthetic and real-world datasets using different clustering metrics. Experimental results demonstrate its effectiveness in improving clustering quality for multi-density data and validate the proposed data stream clustering theory.

When can weak latent factors be statistically inferred?

This article establishes a new and comprehensive estimation and inference theory for principal component analysis (PCA) under the weak factor model that allow for cross-sectional dependent idiosyncratic components under nearly minimal the factor strength relative to the noise level or signal-to-noise ratio. Our theory is applicable regardless of the relative growth rate between the cross-sectional dimension $N$ and temporal dimension $T$. This more realistic assumption and noticeable result requires completely new technical device, as the commonly-used leave-one-out trick is no longer applicable to the case with cross-sectional dependence. Another notable advancement of our theory is on PCA inference $ - $ for example, under the regime where $N\asymp T$, we show that the asymptotic normality for the PCA-based estimator holds as long as the signal-to-noise ratio (SNR) grows faster than a polynomial rate of $\log N$. This finding significantly surpasses prior work that required a polynomial rate of $N$. Our theory is entirely non-asymptotic, offering finite-sample characterizations for both the estimation error and the uncertainty level of statistical inference. A notable technical innovation is our closed-form first-order approximation of PCA-based estimator, which paves the way for various statistical tests. Furthermore, we apply our theories to design easy-to-implement statistics for validating whether given factors fall in the linear spans of unknown latent factors, testing structural breaks in the factor loadings for an individual unit, checking whether two units have the same risk exposures, and constructing confidence intervals for systematic risks. Our empirical studies uncover insightful correlations between our test results and economic cycles.