Algorithms of maximum likelihood data clustering with applications

DOI10.1016/S0378-4371(02)00974-3MaRDI QIDQ1848191zbMATH OpenFDO

Authors Lorenzo Giada, Matteo Marsili

Publication date 19 November 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0204202

zbMATH Keywords

time seriesPearson coefficient

Mathematics Subject Classification ID

Numerical smoothing, curve fitting (65D10)

Abstract: We address the problem of data clustering by introducing an unsupervised, parameter free approach based on maximum likelihood principle. Starting from the observation that data sets belonging to the same cluster share a common information, we construct an expression for the likelihood of any possible cluster structure. The likelihood in turn depends only on the Pearson's coefficient of the data. We discuss clustering algorithms that provide a fast and reliable approximation to maximum likelihood configurations. Compared to standard clustering methods, our approach has the advantages that i) it is parameter free, ii) the number of clusters need not be fixed in advance and iii) the interpretation of the results is transparent. In order to test our approach and compare it with standard clustering algorithms, we analyze two very different data sets: Time series of financial market returns and gene expression data. We find that different maximization algorithms produce similar cluster structures whereas the outcome of standard algorithms has a much wider variability.

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Cites work

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Cited in

(12)

• On sampling and modeling complex systems
• SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
• Power mapping with dynamical adjustment for improved portfolio optimization
• Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• Agglomerative likelihood clustering
• Scale invariance and criticality in financial markets
• Dissecting financial markets: sectors and states
• Criticality of mostly informative samples: a Bayesian model selection approach
• Experiments with, and on, algorithms for maximum likelihood clustering
• Multiscale adaptive multifractal analysis and its applications
• Identifying dominant industrial sectors in market states of the S&P 500 financial data

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