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Fuzzy clustering of time series with time-varying memory.
- Source :
-
International Journal of Approximate Reasoning . Feb2023, Vol. 153, p193-218. 26p. - Publication Year :
- 2023
-
Abstract
- Little attention has been devoted to the long memory among the different data features considered for clustering time series. Following previous literature, we measure the long memory of a time series through the estimated Hurst exponent. However, we exploit the fact that a constant value for the Hurst exponent h is unrealistic in many practical examples. In this paper, assuming that the time series follows a multifractional Brownian motion, we estimate a time-varying Hurst exponent used as the input for a fuzzy clustering procedure. Motivated by the relevance of long memory in finance, the usefulness of the proposed clustering procedure is shown with an application to stock prices. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0888613X
- Volume :
- 153
- Database :
- Academic Search Index
- Journal :
- International Journal of Approximate Reasoning
- Publication Type :
- Periodical
- Accession number :
- 161019016
- Full Text :
- https://doi.org/10.1016/j.ijar.2022.11.021