Optimal Copula Transport for Clustering Multivariate Time Series
Hellebore Capital Management（Hellebore资本管理公司）；Ecole Polytechnique（巴黎综合理工学院）
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
