文章基本信息

标题：pdc: An R Package for Complexity-Based Clustering of Time Series
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作者：Andreas M. Brandmaier
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2015
卷号：67
期号：1
页码：1-23
语种：English
出版社：University of California, Los Angeles
摘要：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.
关键词：complexity, time series, clustering, permutation entropy, R