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

DOI10.1016/J.PHYSA.2018.12.036MaRDI QIDQ2154385zbMATH OpenOpenAlexFDO

Authors 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, http://hdl.handle.net/10234/178949

zbMATH Keywords

multivariate functional datamultivariate time seriesM-estimatorsstockarchetype analysis

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 883145 (Why is no real title available?)
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• On the use of archetypes as benchmarks
• Probabilistic archetypal analysis
• Resistant estimates for high dimensional and functional data based on random projections
• Robust Estimation of a Location Parameter
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Robust Statistics
• Robust forecasting of mortality and fertility rates: a functional data approach
• Robust fuzzy clustering of multivariate time trajectories
• Stochastic modelling for evolution of stock prices by means of functional principal component analysis
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• Wavelet-based fuzzy clustering of time series
• Wavelets-based clustering of multivariate time series
• Weighted and robust archetypal analysis

Cited in

(5)

• Weighted and robust archetypal analysis
• Archetypal analysis for ordinal data
• Functional archetype and archetypoid analysis
• 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

Describes a project that uses

Uses Software

• rospca
• Anthropometry
• Rainbow
• R

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