[R] Partitioning an nxp Time series matrix

Neil Osborne r_stuff_online at hotmail.com
Sat Aug 31 01:00:33 CEST 2002


I have an nxp data set of time series. For my final year project, I would 
like to partition this data set into a smaller number of units ( < n). Where 
each of the units contains time series that move closely together (i.e. in 
unison), and the "simmilarity" (in terms of occurence & amplitudes of peaks 
and troughs) between the segregated units is "low".

I know these are slightly "fuzzy" terms, but I want to get to the essence of 
what I'm trying to achieve (time series partitioning), without throwing in 
words like correlation or cointegration which are "trigger" words. I would 
like to know if anyone has done this kind of partitioning before ?

Any tips or suggestions as to how to carry out such a partioning in R will 
be MOST welcome. Ideally, I would like to automate this partitioning through 
an R "script" since n will be approx 500, and it will not be feasible to do 
this manually.

Any pointers/help will be very much appreciated



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