Clustering of time series via non-parametric tail dependence estimation
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Publication:2516622
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Cited in
(31)- Clustering of time series using quantile autocovariances
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
- Cophenetic-based fuzzy clustering of time series by linear dependency
- Dynamic tail dependence clustering of financial time series
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Clustering random walk 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
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- Quantile correlation coefficient: a new tail dependence measure
- Entropy-based fuzzy clustering of interval-valued time series
- Time series clustering on lower tail dependence for portfolio selection
- Clustering time series by linear dependency
- Time series clustering method based on centered Copula function similarity measure
- Copulas, diagonals, and tail dependence
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Non-linear time series clustering based on non-parametric forecast densities
- Co-clustering of time-dependent data via the shape invariant model
- Comonotonic-based time series clustering with constraints: a review and a conceptual framework
- Zero-inflated time series clustering via ensemble thick-pen transform
- Temporal clustering of time series via threshold autoregressive models: application to commodity prices
- Identifying regions of concomitant compound precipitation and wind speed extremes over Europe
- Clustering nonlinear, nonstationary time series using BSLEX
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
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