ICLUS

ICLUS: A robust and scalable clustering model for time series via independent component analysis. As a statistical technique, independent components analysis (ICA), is used to separate mixed data sources into statistically independent patterns. ICA is also a useful dimension reduction technique for multivariate data analysis. We apply ICA to transform multivariate time series data into independent components (ICs), and then develop a clustering algorithm called ICLUS to group time series according to the ICs found. ICLUS is robust to noises, outliers, and different scales in the data. It is also scalable because it can achieve satisfactory performance in clustering large time series data sets based on a modest number of ICs. The clustering model can be used to cluster financial time series with similar structural patterns. The experiments show that this method is effective and efficient, which also significantly outperforms other comparable clustering methods, such as distance-based approaches.