Cluster analysis for stable processes

DOI10.1080/03610920802155460MaRDI QIDQ3585265zbMATH OpenOpenAlexFDO

Authors Tsutomu Watanabe, Hiroshi Shiraishi, Masanobu Taniguchi

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802155460

zbMATH Keywords

discriminant analysisfunctional limit theoremintegrated periodogramstable processlinear process

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stable stochastic processes (60G52)

Recommendations

• Discriminant analysis for dynamics of stable processes
• Empirical likelihood approach toward discriminant analysis for dynamics of stable processes
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• Discriminant and cluster analysis for Gaussian stationary processes: local linear fitting approach
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES

Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Asymptotic theory of statistical inference for time series
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Discriminant analysis for locally stationary processes
• M-estimation for autoregression with infinite variance
• Spectral estimates and stable processes
• The integrated periodogram for stable processes

Cited in

(5)

• On the classification of financial data with domain agnostic features
• Discriminant and cluster analysis of possibly high-dimensional time series data by a class of disparities
• Classification rules for stable distributions
• A testing approach to clustering scalar time series
• Discriminant analysis for dynamics of stable processes

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