%0 Journal Article %1 marti2015optimal %A Marti, Gautier %A Nielsen, Frank %A Donnat, Philippe %D 2015 %K copulas optimal-transport %T Optimal Copula Transport for Clustering Multivariate Time Series %U http://arxiv.org/abs/1509.08144 %X 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.

@article{marti2015optimal, abstract = {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.}, added-at = {2019-12-11T14:36:06.000+0100}, author = {Marti, Gautier and Nielsen, Frank and Donnat, Philippe}, biburl = {https://www.bibsonomy.org/bibtex/2b6e7f65ca639c9704e844421f57cf430/kirk86}, description = {[1509.08144] Optimal Copula Transport for Clustering Multivariate Time Series}, interhash = {999d94733399ad8b3de5a81fb3d21587}, intrahash = {b6e7f65ca639c9704e844421f57cf430}, keywords = {copulas optimal-transport}, note = {cite arxiv:1509.08144Comment: Accepted at ICASSP 2016}, timestamp = {2019-12-11T14:36:06.000+0100}, title = {Optimal Copula Transport for Clustering Multivariate Time Series}, url = {http://arxiv.org/abs/1509.08144}, year = 2015 }