# Quantile-based fuzzy clustering of multivariate time series in the frequency domain

arXiv: https://arxiv.org/abs/2109.03728 · HTML: https://mlsanity.com/paper/2109.03728/

## Key facts

- Cited by 6 papers in the map (data through 14 Oct 2026).
- Builds on 0 of its 93 references that are in the map.
- First posted on arXiv 8 Sep 2021.

## Built on by (most cited first, 6 of 6)

- [Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques](https://mlsanity.com/paper/2109.11027/) (2021)
- [FCPCA: Fuzzy clustering of high-dimensional time series based on common principal component analysis](https://mlsanity.com/paper/2505.07276/) (2025)
- [Time series clustering based on prediction accuracy of global forecasting models](https://mlsanity.com/paper/2305.00473/) (2023)
- [Fuzzy clustering of ordinal time series based on two novel distances with economic applications](https://mlsanity.com/paper/2304.12249/) (2023)
- [Fuzzy clustering of circular time series based on a new dependence measure with applications to wind data](https://mlsanity.com/paper/2402.08687/) (2024)
- [Canonical Tail Dependence for Soft Extremal Clustering of Multichannel Brain Signals](https://mlsanity.com/paper/2512.06435/) (2025)

## Abstract (arXiv)

A novel procedure to perform fuzzy clustering of multivariate time series generated from different dependence models is proposed. Different amounts of dissimilarity between the generating models or changes on the dynamic behaviours over time are some arguments justifying a fuzzy approach, where each series is associated to all the clusters with specific membership levels. Our procedure considers quantile-based cross-spectral features and consists of three stages: (i) each element is characterized by a vector of proper estimates of the quantile cross-spectral densities, (ii) principal component analysis is carried out to capture the main differences reducing the effects of the noise, and (iii) the squared Euclidean distance between the first retained principal components is used to perform clustering through the standard fuzzy C-means and fuzzy C-medoids algorithms. The performance of the proposed approach is evaluated in a broad simulation study where several types of generating processes are considered, including linear, nonlinear and dynamic conditional correlation models. Assessment is done in two different ways: by directly measuring the quality of the resulting fuzzy partition and by taking into account the ability of the technique to determine the overlapping nature of series located equidistant from well-defined clusters. The procedure is compared with the few alternatives suggested in the literature, substantially outperforming all of them whatever the underlying process and the evaluation scheme. Two specific applications involving air quality and financial databases illustrate the usefulness of our approach.