Time series clustering and classification by the autoregressive metric

DOI10.1016/J.CSDA.2007.06.001zbMath1452.62624OpenAlexW1997336782MaRDI QIDQ1023515

Domenico Piccolo, Marcella Corduas

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.06.001

zbMATH Keywords

classificationdistancestime seriesdiscriminationARIMA modelsautoregressive metric

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Related Items (36)

Polarization of forecast densities: a new approach to time series classification ⋮ A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples ⋮ Comparing several parametric and nonparametric approaches to time series clustering: a simulation study ⋮ A run length transformation for discriminating between auto regressive time series ⋮ Clustering of short time-course gene expression data with dissimilar replicates ⋮ Time Series Clustering on Lower Tail Dependence for Portfolio Selection ⋮ A double clustering algorithm for financial time series based on extreme events ⋮ Fuzzy clustering of mixed data ⋮ Spectral Decomposition of the AR Metric ⋮ A dynamic fuzzy cluster algorithm for time series ⋮ Clustering of time series using quantile autocovariances ⋮ Clustering of financial time series in risky scenarios ⋮ Discussion of ``An analysis of global warming in the Alpine region based of nonlinear nonstationary time series models by F. Battaglia and M. K. Protopapas ⋮ Weakly consistent offline clustering of ARMA processes ⋮ A new symbolic representation method for time series ⋮ A testing approach to clustering scalar time series ⋮ A robust method for clustering football players with mixed attributes ⋮ Dynamical study of metallic clusters using the statistical method of time series clustering ⋮ Time series clustering based on nonparametric multidimensional forecast densities ⋮ Clustering nonlinear, nonstationary time series using BSLEX ⋮ A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing ⋮ Identifying financial time series with similar dynamic conditional correlation ⋮ Non-linear time series clustering based on non-parametric forecast densities ⋮ A review on distance based time series classification ⋮ Noise fuzzy clustering of time series by autoregressive metric ⋮ Model-based fuzzy time series clustering of conditional higher moments ⋮ Copulas, diagonals, and tail dependence ⋮ Clustering of discretely observed diffusion processes ⋮ Tests for comparing time series of unequal lengths ⋮ Arc length tests for equivalent autocovariances ⋮ Italian contributions on some recent research topics in cluster analysis ⋮ The Autoregressive metric for comparing time series models ⋮ Clustering heteroskedastic time series by model-based procedures ⋮ Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic ⋮ A comparison between VAR processes jointly modeling GDP and unemployment rate in France and Germany ⋮ Clustering time series by linear dependency

Uses Software

• AS 256
• clusfind

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness of fit tests for spectral distributions
• Clustering financial time series: an application to mutual funds style analysis
• A periodogram-based metric for time series classification
• Time series clustering based on forecast densities
• Finite sample properties of estimators for autoregressive moving average models
• Time series: theory and methods.
• Estimating the dimension of a model
• Time-frequency clustering and discriminant analysis.
• Clusters of time series
• Asymptotic theory of statistical inference for time series
• Clustering of time series with genetic algorithms.
• Clustering of time series data -- a survey
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• Bhattacharyya distance based linear discriminant function for stationary time series
• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• Preliminary estimation of ARFIMA models
• Large-sample tests of homogeneity for time series models
• Sur un test d'égalité des autocovariances de deux séries chronologiques
• Regression and time series model selection in small samples
• Discrimination and Clustering for Multivariate Time Series
• Spectral distance measures between Gaussian processes
• Finding Groups in Data
• Linear Discriminant Functions for Stationary Time Series
• Nonparametric approach for discriminant analysis in time series
• A significance test for classifying arma models
• SPECTRAL RATIO DISCRIMINANTS AND INFORMATION THEORY
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• Computing the distribution of quadratic forms in normal variables
• Problem Decomposition and Data Reorganization by a Clustering Technique
• Efficient clustering of large data sets

This page was built for publication: Time series clustering and classification by the autoregressive metric