Non-linear time series clustering based on non-parametric forecast densities

DOI10.1016/j.csda.2009.02.015zbMath1284.62575OpenAlexW1966141974MaRDI QIDQ2445740

Andrés M. Alonso, Juan Manuel Vilar, José Antonio Vilar

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.02.015

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Uses Software

• R
• TRAMO

Cites Work

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