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This paper presents a new and novel hybrid modeling method for the segmentation of high dimensional time-series data using the mixture of the sparse principal components regression (MIX-SPCR) model with information complexity (ICOMP) criterion as the fitness function. Our approach encompasses dimension reduction in high dimensional time-series data and, at the same time, determines the number of component clusters (i.e., number of segments across time-series data) and selects the best subset of predictors. A large-scale Monte Carlo simulation is performed to show the capability of the MIX-SPCR model to identify the correct structure of the time-series data successfully. MIX-SPCR model is also applied to a high dimensional Standard & Poor’s 500 (S&P 500) index data to uncover the time-series’s hidden structure and identify the structure change points. The approach presented in this paper determines both the relationships among the predictor variables and how various predictor variables contribute to the explanatory power of the response variable through the sparsity settings cluster wise.

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