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Multiway clustering with time-varying parameters

Author

Listed:
  • Roy Cerqueti

    (Sapienza University of Rome
    London South Bank University
    University of Angers)

  • Raffaele Mattera

    (Sapienza University of Rome)

  • Germana Scepi

    (University of Naples “Federico II”)

Abstract

This paper proposes a clustering approach for multivariate time series with time-varying parameters in a multiway framework. Although clustering techniques based on time series distribution characteristics have been extensively studied, methods based on time-varying parameters have only recently been explored and are missing for multivariate time series. This paper fills the gap by proposing a multiway approach for distribution-based clustering of multivariate time series. To show the validity of the proposed clustering procedure, we provide both a simulation study and an application to real air quality time series data.

Suggested Citation

  • Roy Cerqueti & Raffaele Mattera & Germana Scepi, 2024. "Multiway clustering with time-varying parameters," Computational Statistics, Springer, vol. 39(1), pages 51-92, February.
    • Handle: RePEc:spr:compst:v:39:y:2024:i:1:d:10.1007_s00180-022-01294-5
    DOI: 10.1007/s00180-022-01294-5
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