Spatial Weighted Robust Clustering of Multivariate Time Series Based on Quantile Dependence With an Application to Mobility During COVID-19 Pandemic
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Fuzzy Systems"
DOI: 10.1109/tfuzz.2021.3136005
Abstract: In this article, a fuzzy clustering model for multivariate time series based on the quantile cross-spectral density and principal component analysis is extended by including: 1) a weighting system which assigns a weight to each… read more here.
Keywords: time series; series; series based; based quantile ... See more keywords
Option Pricing by Probability Distortion Operator Based on the Quantile Function
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DOI: 10.1155/2019/5831569
Abstract: A new class of distortion operators based on quantile function is proposed for pricing options. It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure… read more here.
Keywords: quantile function; based quantile; distortion; distortion operator ... See more keywords