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Wavelet-based Fuzzy Clustering of Time Series

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  • Elizabeth Ann Maharaj

    ()

  • Pierpaolo D’Urso

    ()

  • Don Galagedera

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s00357-010-9058-4
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Bibliographic Info

Article provided by Springer in its journal Journal of Classification.

Volume (Year): 27 (2010)
Issue (Month): 2 (September)
Pages: 231-275

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Handle: RePEc:spr:jclass:v:27:y:2010:i:2:p:231-275

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Web page: http://www.springerlink.com/link.asp?id=101794

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Related research

Keywords: Stationary and non stationary time series; Switching time series; Wavelet variance; Crisp clustering; Fuzzy clustering; Developed and emerging markets;

References

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  1. Dose, Christian & Cincotti, Silvano, 2005. "Clustering of financial time series with application to index and enhanced index tracking portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 145-151.
  2. Fifield, S G M & Power, D M & Sinclair, C D, 2002. "Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(1), pages 51-62, January.
  3. Willem Heiser & Patrick Groenen, 1997. "Cluster differences scaling with a within-clusters loss component and a fuzzy successive approximation strategy to avoid local minima," Psychometrika, Springer, vol. 62(1), pages 63-83, March.
  4. Basalto, Nicolas & Bellotti, Roberto & De Carlo, Francesco & Facchi, Paolo & Pantaleo, Ester & Pascazio, Saverio, 2007. "Hausdorff clustering of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 635-644.
  5. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  6. Heungsun Hwang & Wayne Desarbo & Yoshio Takane, 2007. "Fuzzy Clusterwise Generalized Structured Component Analysis," Psychometrika, Springer, vol. 72(2), pages 181-198, June.
  7. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
  8. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  9. Maharaj, Elizabeth A. & Alonso, Andres M., 2007. "Discrimination of locally stationary time series using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 879-895, October.
  10. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
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Citations

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Cited by:
  1. Pierpaolo D’Urso & Livia Giovanni & Riccardo Massari & Dario Lallo, 2013. "Noise fuzzy clustering of time series by autoregressive metric," METRON, Springer, vol. 71(3), pages 217-243, November.
  2. Angela Montanari & Daniela Calò, 2013. "Model-based clustering of probability density functions," Advances in Data Analysis and Classification, Springer, vol. 7(3), pages 301-319, September.

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