Model-based fuzzy time series clustering of conditional higher moments

Roy Cerqueti, Massimiliano Giacalone and Raffaele Mattera
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Massimiliano Giacalone: UNINA - University of Naples Federico II = Università degli studi di Napoli Federico II

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Abstract: This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model's non-linearity. At this aim, we follow a fuzzy approach. Specifically, considering a Dynamic Conditional Score (DCS) model, we propose to cluster time series according to their estimated conditional moments via the Autocorrelation-based fuzzy -means (A-FCM) algorithm. The DCS parametric modeling is appealing because of its generality and computational feasibility. The usefulness of the proposed procedure is illustrated using an experiment with simulated data and several empirical applications with financial time series assuming both linear and nonlinear models' specification and under several assumptions about time series density function.

Date: 2021
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Citations: View citations in EconPapers (8)

Published in International Journal of Approximate Reasoning, 2021, 134, pp.34-52. ⟨10.1016/j.ijar.2021.03.011⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03789115

DOI: 10.1016/j.ijar.2021.03.011

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