Ultrametric Wavelet Regression of Multivariate Time Series: Application to Colombian Conflict Analysis
Murtagh, Fionn; Spagat, Michael; Restrepo, Jorge A.
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https://hdl.handle.net/2142/16517
Description
Title
Ultrametric Wavelet Regression of Multivariate Time Series: Application to Colombian Conflict Analysis
Author(s)
Murtagh, Fionn
Spagat, Michael
Restrepo, Jorge A.
Issue Date
2009-06
Keyword(s)
hierarchical clustering, wavelet regression, time series data
Abstract
We first pursue the study of how hierarchy provides a well-adapted tool for the analysis of change. Then, using a time sequence-constrained hierarchical clustering, we develop the practical aspects of a new approach to wavelet regression. This provides a new way to link hierarchical relationships in a multivariate time series data set with external signals. Violence data from the Colombian conflict in the years 1990 to 2004 is used throughout. We conclude with some proposals for further study on the relationship between social violence and market forces, viz. between the Colombian conflict and the US narcotics market.
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