This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model’s non-linearity. At this aim, we follow a fuzzy approach. Specifically, considering a Dynamic Conditional Score (DCS) model, we propose to cluster time series according to their estimated conditional moments via the Autocorrelation-based fuzzy C-means (A-FCM) algorithm. The DCS parametric modelingis appealing because of its generality and computational feasibility. The usefulness of the proposed procedure is illustrated using an experiment with simulated data and several empirical applications with financial time series assuming both linear and nonlinear models’ specification and under several assumptions about time series density function.

Model-based fuzzy time series clustering of conditional higher moments / Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele. - In: INTERNATIONAL JOURNAL OF APPROXIMATE REASONING. - ISSN 0888-613X. - 134:(2021), pp. 34-52.

Model-based fuzzy time series clustering of conditional higher moments

Roy Cerqueti;Raffaele Mattera
2021

Abstract

This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model’s non-linearity. At this aim, we follow a fuzzy approach. Specifically, considering a Dynamic Conditional Score (DCS) model, we propose to cluster time series according to their estimated conditional moments via the Autocorrelation-based fuzzy C-means (A-FCM) algorithm. The DCS parametric modelingis appealing because of its generality and computational feasibility. The usefulness of the proposed procedure is illustrated using an experiment with simulated data and several empirical applications with financial time series assuming both linear and nonlinear models’ specification and under several assumptions about time series density function.
2021
Fuzzy clustering; Dynamic conditional score; Conditional moments; Time series
01 Pubblicazione su rivista::01a Articolo in rivista
Model-based fuzzy time series clustering of conditional higher moments / Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele. - In: INTERNATIONAL JOURNAL OF APPROXIMATE REASONING. - ISSN 0888-613X. - 134:(2021), pp. 34-52.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1542888
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