Multiway clustering with time-varying parameters

Abstract

This paper proposes a clustering approach for multivariate time series with time-varying parameters in a multiway framework. Although clustering techniques based on time series distribution characteristics have been extensively studied, methods based on time-varying parameters have only recently been explored and are missing for multivariate time series. This paper fills the gap by proposing a multiway approach for distribution-based clustering of multivariate time series. To show the validity of the proposed clustering procedure, we provide both a simulation study and an application to real air quality time series data.