Robust multivariate and functional archetypal analysis with application to financial time series analysis
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INVESTIGACIONMetadatos
Título
Robust multivariate and functional archetypal analysis with application to financial time series analysisFecha de publicación
2018-12Editor
ElsevierCita bibliográfica
MOLINER, Jesús; EPIFANIO, Irene. Robust multivariate and functional archetypal analysis with application to financial time series analysis. Physica A: Statistical Mechanics and its Applications, 2019, 519: 195-208.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S0378437118315498?via%3Dihub#a ...Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
Archetypal analysis approximates data by means of mixtures of actual extreme cases (archetypoids) or archetypes, which are a convex combination of cases in the data set. Archetypes lie on the boundary of the convex ... [+]
Archetypal analysis approximates data by means of mixtures of actual extreme cases (archetypoids) or archetypes, which are a convex combination of cases in the data set. Archetypes lie on the boundary of the convex hull. This makes the analysis very sensitive to outliers. A robust methodology by means of M-estimators for classical multivariate and functional data is proposed. This unsupervised methodology allows complex data to be understood even by non-experts. The performance of the new procedure is assessed in a simulation study, where a comparison with a previous methodology for the multivariate case is also carried out, and our proposal obtains favorable results. Finally, robust bivariate functional archetypoid analysis is applied to a set of companies in the S&P 500 described by two time series of stock quotes. A new graphic representation is also proposed to visualize the results. The analysis shows how the information can be easily interpreted and how even non-experts can gain a qualitative understanding of the data. [-]
Descripción
The code and data for reproducing the examples are available at http://www3.uji.es/epifanio/RESEARCH/rofada.rar. A preliminary version of this work was presented at the 8th International Conference on Mathematical and ... [+]
The code and data for reproducing the examples are available at http://www3.uji.es/epifanio/RESEARCH/rofada.rar. A preliminary version of this work was presented at the 8th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018) (Moliner and Epifanio (2018)), where the application data were analyzed in a non-robust way. [-]
Proyecto de investigación
Spanish Ministry of Science, Innovation and Universities (AEI/FEDER, EU) (DPI2017-87333-R) ; Universitat Jaume I (UJI-B2017-13).Derechos de acceso
© 2018 Elsevier B.V. All rights reserved.
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