I have financial time series and PCA scores, that I'm trying to cluster. As PCA scores don't have orientation, I would like to know what clustering method would be suitable for clustering these kind of series? I feel that -1 correlation series with my PCA scores is as important as +1 correlation and should be clustered together.
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$\begingroup$ I would use k-means. $\endgroup$– james42Commented Nov 22, 2016 at 9:45
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$\begingroup$ Thank you for you comment, is there preferred similarity matrix method? I have used correlations, but there is alot to choose from (wavelet, DTW)? $\endgroup$– HakkiCommented Nov 22, 2016 at 9:52
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1$\begingroup$ I'm voting to close this question as off-topic because this is a purely statistical question and as such would better fit at Cross Validated. $\endgroup$– Richard HardyCommented Nov 22, 2016 at 19:06
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$\begingroup$ Sure, thought that it would fit under Quantitative Finance, but cross validated might be better then. Thanks for effort. $\endgroup$– HakkiCommented Nov 23, 2016 at 8:00
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