TSclust: An R Package for Time Series Clustering

Pablo Montero and José A. Vilar

Journal of Statistical Software, 2014, vol. 062, issue i01

Abstract: Time series clustering is an active research area with applications in a wide range of fields. One key component in cluster analysis is determining a proper dissimilarity measure between two data objects, and many criteria have been proposed in the literature to assess dissimilarity between two time series. The R package TSclust is aimed to implement a large set of well-established peer-reviewed time series dissimilarity measures, including measures based on raw data, extracted features, underlying parametric models, complexity levels, and forecast behaviors. Computation of these measures allows the user to perform clustering by using conventional clustering algorithms. TSclust also includes a clustering procedure based on p values from checking the equality of generating models, and some utilities to evaluate cluster solutions. The implemented dissimilarity functions are accessible individually for an easier extension and possible use out of the clustering context. The main features of TSclust are described and examples of its use are presented.

Date: 2014-12-25
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:062:i01

DOI: 10.18637/jss.v062.i01

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