Back to Search
Start Over
Distribution-based entropy weighting clustering of skewed and heavy tailed time series
- Source :
- UPCommons. Portal del coneixement obert de la UPC, Universitat Politècnica de Catalunya (UPC), Symmetry, Vol 13, Iss 959, p 959 (2021), Symmetry, Volume 13, Issue 6
- Publication Year :
- 2021
-
Abstract
- The goal of clustering is to identify common structures in a data set by forming groups of homogeneous objects. The observed characteristics of many economic time series motivated the development of classes of distributions that can accommodate properties, such as heavy tails and skewness. Thanks to its flexibility, the skewed exponential power distribution (also called skewed generalized error distribution) ensures a unified and general framework for clustering possibly skewed and heavy tailed time series. This paper develops a clustering procedure of model-based type, assuming that the time series are generated by the same underlying probability distribution but with different parameters. Moreover, we propose to optimally combine the estimated parameters to form the clusters with an entropy weighing k-means approach. The usefulness of the proposal is shown by means of application to financial time series, demonstrating also how the obtained clusters can be used to form portfolio of stocks.
- Subjects :
- Classification
Financial time series
Generalized error distribution
Portfolio selection
Skewed exponential power distribution
Skewness
Physics and Astronomy (miscellaneous)
Anàlisi estocàstica
General Mathematics
skewness
financial time series
financial time serie
02 engineering and technology
Operations research
Investigació operativa
01 natural sciences
Matemàtiques i estadística::Investigació operativa [Àrees temàtiques de la UPC]
010104 statistics & probability
90 Operations research, mathematical programming::90B Operations research and management science [Classificació AMS]
0202 electrical engineering, electronic engineering, information engineering
Computer Science (miscellaneous)
QA1-939
Entropy (information theory)
Statistical physics
0101 mathematics
Cluster analysis
generalized error distribution
Generalized normal distribution
Mathematics
skewed exponential power distribution
skewne
Series (mathematics)
Stochastic analysis
60 Probability theory and stochastic processes::60G Stochastic processes [Classificació AMS]
Weighting
Exponential function
classification
Chemistry (miscellaneous)
Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC]
Probability distribution
portfolio selection
020201 artificial intelligence & image processing
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- UPCommons. Portal del coneixement obert de la UPC, Universitat Politècnica de Catalunya (UPC), Symmetry, Vol 13, Iss 959, p 959 (2021), Symmetry, Volume 13, Issue 6
- Accession number :
- edsair.doi.dedup.....b6c94717323a854e81dddd142da1b7ff
- Full Text :
- https://doi.org/10.3390/sym13060959