Message-ID: <F2866zwIbtJFiRBSuaa00009854@hotmail.com>
Date: 2002-08-30T23:00:33Z
From: Neil Osborne
Subject: Partitioning an nxp Time series matrix
Hi,
I have an nxp data set of time series. For my final year project, I would
like to partition this data set into a smaller number of units ( < n). Where
each of the units contains time series that move closely together (i.e. in
unison), and the "simmilarity" (in terms of occurence & amplitudes of peaks
and troughs) between the segregated units is "low".
I know these are slightly "fuzzy" terms, but I want to get to the essence of
what I'm trying to achieve (time series partitioning), without throwing in
words like correlation or cointegration which are "trigger" words. I would
like to know if anyone has done this kind of partitioning before ?
Any tips or suggestions as to how to carry out such a partioning in R will
be MOST welcome. Ideally, I would like to automate this partitioning through
an R "script" since n will be approx 500, and it will not be feasible to do
this manually.
Any pointers/help will be very much appreciated
Regards
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