Clustering time series by extremal dependence

To appear in International Journal of Data Science and Analytics
https://doi.org/10.1007/s41060-024-00555-4

The goal of this paper is to characterize the temporal dependence structure on the extremes of time series and use such dependency to group them. In particular, three similarity measures to capture extremal dependence are proposed, being their performance assessed in different scenarios. This will involve the use of classical time series clustering algorithms, as well as rigorous evaluation of their performance in both simulated scenarios and real-world time series data sets. The focus will be on comparing the performance of these similarity measures with different clustering methods, and illustrate the efficacy of extremal dependence-based clustering in meteorological data. To achieve this, we will consider a dataset consisting of daily maximum temperatures recorded at 500 stations across Europe.