Clustering of time series via non-parametric tail dependence estimation
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Publication:2516622
DOI10.1007/S00362-014-0605-7zbMATH Open1317.62053OpenAlexW2046839004MaRDI QIDQ2516622FDOQ2516622
Roberta Pappadà, Nicola Torelli, Fabrizio Durante
Publication date: 3 August 2015
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-014-0605-7
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Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cited In (22)
- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Dynamic tail dependence clustering of financial time series
- Classifying time series data: a nonparametric approach
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Robust fuzzy clustering based on quantile autocovariances
- Clustering of financial instruments using jump tail dependence coefficient
- A double clustering algorithm for financial time series based on extreme events
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- An Adaptive Markov Chain Monte Carlo Approach to Time Series Clustering of Processes with Regime Transition Behavior
- A spatially-weighted AMH copula-based dissimilarity measure for clustering variables: an application to urban thermal efficiency
- Title not available (Why is that?)
- Quantile correlation coefficient: a new tail dependence measure
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Copulas, diagonals, and tail dependence
- Non-linear time series clustering based on non-parametric forecast densities
- Co-clustering of time-dependent data via the shape invariant model
- Zero-inflated time series clustering via ensemble thick-pen transform
- Temporal clustering of time series via threshold autoregressive models: application to commodity prices
- Clustering nonlinear, nonstationary time series using BSLEX
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
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