Clustering of time series using quantile autocovariances

DOI10.1007/s11634-015-0208-8zbMath1414.62372MaRDI QIDQ2418275

Borja Lafuente-Rego, José Antonio Vilar

Publication date: 3 June 2019

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11634-015-0208-8

zbMATH Keywords

clustering; quantile autocovariances; optimal number of clusters; dissimilarity between time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H30: Classification and discrimination; cluster analysis (statistical aspects)

Related Items

Robust fuzzy clustering based on quantile autocovariances, Regime dependent interconnectedness among fuzzy clusters of financial time series, Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach, Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques, Clustering nonlinear time series with neural network bootstrap forecast distributions, Cophenetic-based fuzzy clustering of time series by linear dependency, Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic, Clustering time series by linear dependency

Uses Software

• R
• Tsclust
• quantilogram
• AS 229
• clusfind

Cites Work

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