Automated regime detection in multidimensional time series data using sliced Wasserstein k-means clustering
Published in SSRN, ArXiv, 2023
Recommended citation: Qinmeng Luan and James Hamp, Available at SSRN 4587877 (2023) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4587877
This paper is about clustering regimes in time series using a variation of the k-means algorithm adapted to empirical distributions via the Wasserstein metric.