pdc: An R Package for Complexity-Based Clustering of Time Series

Andreas M. Brandmaier

Journal of Statistical Software, 2015, vol. 067, issue i05

Abstract: Permutation distribution clustering is a complexity-based approach to clustering time series. The dissimilarity of time series is formalized as the squared Hellinger distance between the permutation distribution of embedded time series. The resulting distance measure has linear time complexity, is invariant to phase and monotonic transformations, and robust to outliers. A probabilistic interpretation allows the determination of the number of significantly different clusters. An entropy-based heuristic relieves the user of the need to choose the parameters of the underlying time-delayed embedding manually and, thus, makes it possible to regard the approach as parameter-free. This approach is illustrated with examples on empirical data.

Date: 2015-10-07
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:067:i05

DOI: 10.18637/jss.v067.i05

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