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1 novembre 2022
- handle: 10670/1.b5a81g
- hal: hal-04321377
- doi: 10.1007/s00180-022-01294-5
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s00180-022-01294-5
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Roy Cerqueti et al., « Multiway clustering with time-varying parameters », HAL-SHS : économie et finance, ID : 10.1007/s00180-022-01294-5
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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.