Buscar
Mostrando ítems 1-6 de 6
The bootstrap for testing the equality of two multivariate time series with an application to financial markets
(Elsevier, 2022)
[Abstract]: The problem of testing the equality of the generating processes of two multivariate time series is addressed in this work. To this aim, we construct four tests based on a distance measure between stochastic ...
Outlier Detection for Multivariate Time Series: A Functional Data Approach ®
(Elsevier, 2021)
[Abstract] A method for detecting outlier samples in a multivariate time series dataset is proposed. It is assumed that an outlying series is characterized by having been generated from a different process than those ...
Quantile Cross-Spectral Density: A Novel and Effective Tool for Clustering Multivariate Time Series
(Elsevier, 2021)
[Abstract] Clustering of multivariate time series is a central problem in data mining with applications in many fields. Frequently, the clustering target is to identify groups of series generated by the same multivariate ...
The Bootstrap for Testing the Equality of Two Multivariate Stochastic Processes with an Application to Financial Markets
(MDPI, 2022)
[Abstract] The problem of testing the equality of generating processes of two multivariate time series is addressed in this work. To this end, we construct two tests based on a distance measure between stochastic processes. ...
Quantile-Based Fuzzy Clustering of Multivariate Time Series in the Frequency Domain
(Elsevier, 2022)
[Abstract] A novel procedure to perform fuzzy clustering of multivariate time series generated from different dependence models is proposed. Different amounts of dissimilarity between the generating models or changes on ...
Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques
(Elsevier, 2022-11)
[Abstract]: Robust fuzzy clustering of multivariate time series is addressed when the clustering purpose is grouping together series generated from similar stochastic processes. Robustness to the presence of anomalous ...