VAR model based clustering method for multivariate time series data

DOI10.1007/s10958-019-04201-4zbMath1421.62118OpenAlexW2917966187WikidataQ128341648 ScholiaQ128341648MaRDI QIDQ2314451

Yanyan Li

Publication date: 23 July 2019

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-019-04201-4

zbMATH Keywords

multivariate time seriesVAR modelclustering method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Uses Software

• StFinMetrics

Cites Work

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