Partial cross correlations and its applications to financial time series clustering

• المؤلف الرئيسي: Lee, Zhen Ting
• مؤلفون آخرون: Cheong Siew Ann
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2015
• الموضوعات: DRNTU::Science::General::Economic and business aspects
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/62110
• المؤسسة: Nanyang Technological University

Cross correlation is widely used in many areas to measure mutual influence between variables. However, most cross correlation metrics measure the mutual information between a pair of variables, when in fact these can also be correlated with a third variable. In this FYP, we define a partial cross co...