Optimal Transport vs. Fisher-Rao distance between Copulas for Clustering Multivariate Time Series

no code implementations • 28 Apr 2016 • Gautier Marti, Sébastien Andler, Frank Nielsen, Philippe Donnat

This clustering methodology leverages copulas which are distributions encoding the dependence structure between several random variables.

Clustering Clustering Multivariate Time Series +2

Clustering Financial Time Series: How Long is Enough?

no code implementations • 13 Mar 2016 • Gautier Marti, Sébastien Andler, Frank Nielsen, Philippe Donnat

Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations.

Clustering Time Series +1