Consider the World Stock Indexes. Apply a hierarchical clustering using as dissimilarity measure the cross linear dependency.
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Consider the World Stock Indexes. Apply a hierarchical clustering using as dissimilarity measure the cross linear dependency. Compare the results obtained with different number of lags in the dissimilarities. Discuss the different criteria used to select the number of clusters.
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Related Book For
Statistical Learning For Big Dependent Data
ISBN: 9781119417385
1st Edition
Authors: Daniel Peña, Ruey S. Tsay
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