trajeR, an R package for cluster analysis of time series

51 Pages Posted: 4 Apr 2022

See all articles by Cédric NOEL

Cédric NOEL

University of Lorraine; University of Luxembourg

Jang Schiltz

University of Luxembourg

Date Written: March 10, 2022

Abstract

We present the R package trajeR which provides all necessary tools to calibrate generalized finite mixture models, plot the results graphically and test the model adequacy.
First, we give an overview of the generalized finite mixture model for clustering time series and describe the core function trajeR of the package trajeR.
We give a step-by-step guideline on how to use the different available functions on simulated data sets with the three main underlying data distributions that appear in practice, the binary logit distribution, the (censored) normal distribution
and the zero inflated Poisson distribution.
Even though the estimation results are usually very similar, the trajeR package supports the two main estimations methods which are direct optimization of the derivative of the loglikelihood
and the Expected Maximization Algorithm. It also allows to compute group membership probabilities for all subjects in the data set, to exhibit profiles for the clusters found in the analysis and provides
a whole bunch of model adequacy criteria, together with the main model selection criteria.

Keywords: R package, generalized finite mixture model, fuzzy logic cluster analysis of trajectories

JEL Classification: C38, C88

Suggested Citation

NOEL, Cédric and Schiltz, Jang, trajeR, an R package for cluster analysis of time series (March 10, 2022). Available at SSRN: https://ssrn.com/abstract=4054519 or http://dx.doi.org/10.2139/ssrn.4054519

Cédric NOEL

University of Lorraine ( email )

Lorraine
France

University of Luxembourg ( email )

Kirchberg, 6, rue Richard Coudenhove-Kalergi
Luxembourg
Luxembourg

Jang Schiltz (Contact Author)

University of Luxembourg ( email )

4, rue Albert Borschette
Luxembourg, 1246
Luxembourg
003524666446663 (Phone)

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