prices.GBM.cluster: Cluster multiple GBM series

In EFForTS-B10/Refforts: What the Package Does (One Line, Title Case)

Cluster multiple GBM series

Description

Get parameter files from efforts-abm folder

Usage

prices.GBM.cluster(
  series,
  type = "partitional",
  k = 20L,
  distance = "dtw_basic",
  centroid = "pam",
  seed = 3247L,
  trace = TRUE,
  window.size = 20L
)

Arguments

series	tibble with at least 2 series of GBM price data
type	dtwclust parameter type
k	dtwclust parameter k
distance	dtwclust parameter distance
centroid	dtwclust parameter centroid
seed	dtwclust parameter seed
trace	dtwclust parameter trace
window.size	dtwclust parameter window.size

Details

This function uses the dtwclust package to cluster multiple time series. The input object can be generated by nesting several calls to prices.GBM.one.series() - see example.

Value

a cluster object

Examples

## Not run: 

n.series <- 100
path.series <- purrr::map_dfr(1:n.series, function(x){
  prices.GBM.one.series(years=50, id=x)
  })

## End(Not run)

EFForTS-B10/Refforts documentation built on March 26, 2023, 5:45 p.m.