[R] Partitioning an nxp Time series matrix

[Achim Zeileis]

Neil Osborne wrote:
> 
> Hi,
> 
> 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 ?

I haven't, only with univariate time series in a regression framework.
The next version of the package strucchange  will contain functions to
estimate breakpoints in regression relationships and thus for
partitioning univariate time series. This is mostly based on work of Bai
& Perron, (1998, 2001).

But maybe this functionality could be used in something like a
cointegration regression as well, although I haven't seen such an
application and I'm not entirely sure whether it would be sensible.
Hope that helps
Z


> 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
> 
> Regards
> 
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