Clusterwise PLS regression on a stochastic process

  title={Clusterwise PLS regression on a stochastic process},
  author={C. Preda and Gilbert Saporta},
  journal={Computational Statistics & Data Analysis},
In this paper we propose to use the PLS approach for clusterwise linear regression in the particular case where the set of predictor variables forms a L2-continuous stochastic process {Xt}t∈[0,T ]. We have adapted the k-means algorithm to this case and we give necessar conditions for its convergence. The results of an application of the clusterwise PLS regression to stock-exchange data are compared with those obtained by other methods. 

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