Quantile-based fuzzy clustering of multivariate time series in the frequency domain
频域中基于分位数的多元时间序列模糊聚类
A novel procedure to perform fuzzy clustering of multivariate time series generated from different dependence models is proposed. Different amounts of dissimilarity between the generating models or changes on the dynamic behaviours over time are some arguments justifying a fuzzy approach, where each series is associated to all the clusters with specific membership levels. Our procedure considers quantile-based cross-spectral features and consists of three stages: (i) each…