When clustering time series, relevant information resides in their pairwise associations. Therefore, a measure of dissimilarity among time series is required. When the phenomenon of interest exhibits extreme dependence, it is possible to base such metrics on tail dependence coefficients. Identifying the best measure is far from trivial and largely impacts the resulting partition. In this contribution, we propose a novel approach, which accumulates evidence from a multiplicity of partitions obtained from several dissimilarities, potentially resulting in more robust final clusters.We finally illustrate the proposed approach by applying it to the analysis of financial time series where the emphasis is on possible lower tail dependence.

Clustering of Time Series via Evidence Accumulation / Mecchina, A.; Pappada', R.; Torelli, N.. - (2026), pp. ---. [Epub ahead of print] ( 3rd Conference of the Statistics and Data Science Group of the Italian Statistical Society, SDS 2025 Milano 2-3 aprile 2025).

Clustering of Time Series via Evidence Accumulation

A. Mecchina;R. Pappada';N. Torelli
2026-01-01

Abstract

When clustering time series, relevant information resides in their pairwise associations. Therefore, a measure of dissimilarity among time series is required. When the phenomenon of interest exhibits extreme dependence, it is possible to base such metrics on tail dependence coefficients. Identifying the best measure is far from trivial and largely impacts the resulting partition. In this contribution, we propose a novel approach, which accumulates evidence from a multiplicity of partitions obtained from several dissimilarities, potentially resulting in more robust final clusters.We finally illustrate the proposed approach by applying it to the analysis of financial time series where the emphasis is on possible lower tail dependence.
2026
978-3-032-18988-2
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3135703
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