Time series clustering based on prediction accuracy of global forecasting models
基于全局预测模型预测准确率的时间序列聚类
In this paper, a novel method to perform model-based clustering of time series is proposed. The procedure relies on two iterative steps: (i) K global forecasting models are fitted via pooling by considering the series pertaining to each cluster and (ii) each series is assigned to the group associated with the model producing the best forecasts according to a particular criterion. Unlike most techniques proposed in the literature, the method considers the predictive accuracy…