Robust multivariate and functional archetypal analysis with application to financial time series analysis

DOI10.1016/J.PHYSA.2018.12.036OpenAlexW2895505654MaRDI QIDQ2154385FDOQ2154385

Jesús Moliner, Irene Epifanio

Publication date: 19 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.00919

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zbMATH Keywords

multivariate functional datamultivariate time seriesM-estimatorsstockarchetype analysis

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Finding Groups in Data
• Functional data analysis.
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• Robust Locally Weighted Regression and Smoothing Scatterplots
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• On the Concept of Depth for Functional Data
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• Curves discrimination: a nonparametric functional approach
• Archetypal shapes based on landmarks and extension to handle missing data
• Functional archetype and archetypoid analysis
• Archetypoids: a new approach to define representative archetypal data
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• Resistant estimates for high dimensional and functional data based on random projections
• Archetypal Analysis
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• Weighted and robust archetypal analysis
• Probabilistic archetypal analysis
• On the use of archetypes as benchmarks
• Wavelet-based fuzzy clustering of time series
• FUZZY C-MEANS CLUSTERING MODELS FOR MULTIVARIATE TIME-VARYING DATA: DIFFERENT APPROACHES
• Clustering financial time series: new insights from an extended hidden Markov model
• Wavelets-based clustering of multivariate time series
• Descriptive matrix factorization for sustainability. Adopting the principle of opposites
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• Stochastic modelling for evolution of stock prices by means of functional principal component analysis
• Interval Archetypes: A New Tool for Interval Data Analysis
• Archetypal analysis for data‐driven prototype identification
• Robust fuzzy clustering of multivariate time trajectories
• GARCH-based robust clustering of time series
• Change point analysis of imprecise time series

Cited In (3)

• Archetypal analysis for ordinal data
• Robust archetypoids for anomaly detection in big functional data
• Archetypal curves in the shape and size space: discovering the salient features of curved big data by representative extremes

Uses Software

• R
• Rainbow
• Anthropometry
• rospca

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