Convex Clustering for Autocorrelated Time Series
Max Revay, Victor Solo · ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) · 2022
While clustering in general is a heavily worked area, clustering of auto-correlated time series (CATS) has received relatively little attention. Here, we develop a convex clustering algorithm suited to auto-correlated time series and compare it with a state of the art method. We find the proposed algorithm is able to more accurately identify the true clusters.