Fuzzy clustering of time series with time-varying memory
From MaRDI portal
Publication:2677857
DOI10.1016/j.ijar.2022.11.021OpenAlexW4310862823MaRDI QIDQ2677857
Roy Cerqueti, Raffaele Mattera
Publication date: 6 January 2023
Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ijar.2022.11.021
classificationfractional Brownian motionlong range dependencetime series clusteringdynamic Hurst exponent
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A fuzzy clustering model for multivariate spatial time series
- Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
- Short-term load forecasting method based on fuzzy time series, seasonality and long memory process
- Fuzzy clustering of time series in the frequency domain
- Application of the Hurst exponent in ecology
- Clustering with the average silhouette width
- A periodogram-based metric for time series classification
- Clustering heteroskedastic time series by model-based procedures
- Silhouettes: a graphical aid to the interpretation and validation of cluster analysis
- Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
- Robust fuzzy clustering of multivariate time trajectories
- Fuzzy clustering of time series using extremes
- Robust, fuzzy, and parsimonious clustering, based on mixtures of factor analyzers
- GARCH-based robust clustering of time series
- A computational technique to classify several fractional Brownian motion processes
- Dynamic panel fuzzy time series model and its application to econometric time series
- Model-based fuzzy time series clustering of conditional higher moments
- Robust fuzzy clustering of time series based on B-splines
- Long memory and crude oil's price predictability
- Clustering of time series data -- a survey
- A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
- The Long Memory of the Efficient Market
- Long-Term Memory in Stock Market Prices
- Empirical properties of asset returns: stylized facts and statistical issues
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Modelling stock price movements: multifractality or multifractionality?
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Fractional Brownian Motions, Fractional Noises and Applications
- Time Series Clustering and Classification
- A Fuzzy Relative of the ISODATA Process and Its Use in Detecting Compact Well-Separated Clusters