Abstract: In this paper, we propose a novel approach for clustering time series, which combines three well-known aspects: a permutation-based coding of the time series, several distance measurements for discrete distributions and hierarchical clustering using different linkages. The proposed method classifies a set of time series into homogeneous groups, according to the degree of dependency among them. That is, time series with a high level of dependency will lie in the same cluster. Moreover, taking into account the nature of the codifying process, the...
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Topics: 
Data mining
Econometrics