[general_dat] Seminario de Estadística

[Marina Valdora]

Estimadas/os:

Desde el Instituto de cálculo, tenemos el agrado de anunciar que el próximo
miércoles 22 de febrero el Profesor Daniel Peña dará una charla
titulada "Encontrar
el número de clusters con series temporales multivariantes". El Profesor
Peña es profesor de la Universidad Carlos III de Madrid y es invitado del
Instituto de Cálculo y la Maestría en Estadística Matemática.

Expositor: Daniel Peña

Día: Miércoles 22/2

Hora: 17:30 hs

Lugar: pab 0 - 0  Aula 1101


Encontrar el número de clusters con series temporales multivariantes



por

Daniel Peña and Ruey S. Tsay

Universidad Carlos III de Madrid and University of Chicago


                                       ABSTRACT
Clustering scalar time series using their univariate properties and a
hierarchical method is considered.  Two major issues, in this case, are to
detect the existence of multiple clusters and to determine their number if
exist.
In this paper, we propose a  new test statistic
for detecting the existence of multiple clusters in a time-series data set
and
a new procedure to determine its number when they exist.
The proposed method is based on the jumps, i.e.,  the increments, in the
heights of the dendrogram
when a hierarchical clustering is applied to the data. We use parametric
bootstraps to obtain
a reference distribution of the test statistics and propose an iterative
procedure to find the number of clusters. The clusters found are internally
homogeneous
according to the test statistics used in the analysis. The performance of
the proposed procedure in finite samples is investigated by Monte Carlo
simulations
and illustrated by some empirical examples. Comparisons with some existing
methods for
selecting the number of clusters are also investigated.