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Clusterwise PLS regression on a stochastic process. (English) Zbl 1429.62299

Summary: The clusterwise linear regression is studied when the set of predictor variables forms a \(L_{2}\)-continuous stochastic process. For each cluster the estimators of the regression coefficients are given by partial least square regression. The number of clusters is treated as unknown and the convergence of the clusterwise algorithm is discussed. The approach is compared with other methods via an application on stock-exchange data.

MSC:

62J05 Linear regression; mixed models
62H25 Factor analysis and principal components; correspondence analysis
62H30 Classification and discrimination; cluster analysis (statistical aspects)
62P05 Applications of statistics to actuarial sciences and financial mathematics

Software:

fda (R)
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References:

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