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American Physical Society, Physical review E: Statistical, nonlinear, and soft matter physics, 6(78)

DOI: 10.1103/physreve.78.066703

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Data-driven estimates of the number of clusters in multivariate time series

Journal article published in 2008 by Christian Rummel, Markus Müller, Kaspar Schindler ORCID
This paper is available in a repository.
This paper is available in a repository.

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Abstract

An important problem in unsupervised data clustering is how to determine the number of clusters. Here we investigate how this can be achieved in an automated way by using interrelation matrices of multivariate time series. Two nonparametric and purely data driven algorithms are expounded and compared. The first exploits the eigenvalue spectra of surrogate data, while the second employs the eigenvector components of the interrelation matrix. Compared to the first algorithm, the second approach is computationally faster and not limited to linear interrelation measures.