Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques
多变量时间序列的分位数模糊 C 均值聚类:稳健方法
Three robust methods for clustering multivariate time series from the point of view of generating processes are proposed. The procedures are robust versions of a fuzzy C-means model based on: (i) estimates of the quantile cross-spectral density and (ii) the classical principal component analysis. Robustness to the presence of outliers is achieved by using the so-called metric, noise and trimmed approaches. The metric approach incorporates in the objective function a distance…