Fuzzy clustering of time series based on weighted conditional higher moments

Abstract This paper proposes a new approach to fuzzy clustering of time series based on the dissimilarity among conditional higher moments. A system of weights accounts for the relevance of each conditional moment in defining the clusters. Robustness against outliers is also considered by extending the above clustering method using a suitable exponential transformation of the distance measure defined on the conditional higher moments. To show the usefulness of the proposed approach, we provide a study with simulated data and an empirical application to the time series of stocks included in the FTSEMIB 30 Index.