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arXiv · 1509.08144

Optimal Copula Transport for Clustering Multivariate Time Series

Gautier Marti·Frank Nielsen·Philippe Donnat
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Abstract

This paper presents a new methodology for clustering multivariate time series leveraging optimal transport between copulas. Copulas are used to encode both (i) intra-dependence of a multivariate time series, and (ii) inter-dependence between two time series. Then, optimal copula transport allows us to define two distances between multivariate time series: (i) one for measuring intra-dependence dissimilarity, (ii) another one for measuring inter-dependence dissimilarity based on a new multivariate dependence coefficient which is robust to noise, deterministic, and which can target specified dependencies.

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Gautier Marti, Frank Nielsen, Philippe Donnat. 2015-09-27. Optimal Copula Transport for Clustering Multivariate Time Series. https://arxiv.org/abs/1509.08144

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