Comparing Several Parametric and Nonparametric Approaches to Time Series Clustering: A Simulation Study
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Volume (Year): 27 (2010)
Issue (Month): 3 (November)
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References listed on IDEAS
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- Peña, Daniel & Galeano, Pedro, 2001. "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS ws012415, Universidad Carlos III de Madrid. Departamento de Estadística.
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- Juan Vilar & José Vilar & Sonia Pértega, 2009. "Classifying Time Series Data: A Nonparametric Approach," Journal of Classification, Springer;The Classification Society, vol. 26(1), pages 3-28, April.
- 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.
- Otranto, Edoardo, 2008.
"Clustering heteroskedastic time series by model-based procedures,"
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Elsevier, vol. 52(10), pages 4685-4698, June.
- E. Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, vol. 91(1), pages 195-209, March.
- Vilar, J.A. & Alonso, A.M. & Vilar, J.M., 2010. "Non-linear time series clustering based on non-parametric forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2850-2865, November.
- Maharaj, E.A., 1994. "A Significance Test for Classifying ARMA Models," Monash Econometrics and Business Statistics Working Papers 18/94, Monash University, Department of Econometrics and Business Statistics.
- Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.
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