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• W4223984258 abstract "We conduct cluster analysis of a class of locally asymptotically self-similar stochastic processes with finite covariance structures, which includes Brownian motion, fractional Brownian motion, and multifractional Brownian motion as paradigmatic examples. Given the true number of clusters, a new covariance-based dissimilarity measure is introduced, based on which we obtain approximately asymptotically consistent algorithms for clustering locally asymptotically self-similar stochastic processes. In the simulation study, clustering data sampled from fractional and multifractional Brownian motions with distinct Hurst parameters illustrates the approximated asymptotic consistency of the proposed algorithms. Clustering global financial markets’ equity indexes returns and sovereign CDS spreads provides a successful real world application. Implementations in MATLAB of the proposed algorithms and the simulation study are publicly shared in GitHub." @default.
• W4223984258 created "2022-04-19" @default.
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• W4223984258 date "2022-04-14" @default.
• W4223984258 modified "2023-09-26" @default.
• W4223984258 title "Cluster Analysis on Locally Asymptotically Self-Similar Processes with Known Number of Clusters" @default.
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• W4223984258 doi "https://doi.org/10.3390/fractalfract6040222" @default.
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