Amortized Neural Clustering of Time Series based on Statistical Features

TL;DR

This paper presents a neural network-based, feature-driven approach for clustering time series data that automatically determines the number of clusters and outperforms traditional methods in accuracy.

Contribution

It introduces an amortized neural inference framework that learns to cluster time series using statistical features, reducing reliance on conventional clustering algorithms.

Findings

Achieves competitive or superior accuracy compared to traditional methods.

Can automatically determine the number of clusters without prior specification.

Demonstrates practical utility on financial time series data.

Abstract

This paper introduces an algorithm-agnostic approach to feature-based time series clustering via amortized neural inference. By training neural networks to approximate the optimal partitioning rule from simulated data, the proposed framework reduces reliance on conventional clustering methods, such as $K$-means, $K$-medoids, or hierarchical clustering, and their associated objective functions and heuristics. Leveraging statistical features, such as autocorrelations and quantile autocorrelations, the approach learns a data-driven affinity structure from which clustering partitions can be recovered, without requiring explicit prior specification of cluster shapes or structures. In addition, one version of the method can automatically determine the number of clusters, avoiding ad-hoc selection procedures. Comprehensive empirical studies show that the proposed framework achieves competitive or superior clustering accuracy relative to traditional methods, even in challenging scenarios where competing techniques are provided with the true number of clusters. An application to financial time series of stock returns illustrates its practical utility. By reducing the need for algorithm selection and calibration, the proposed framework opens new possibilities for automated, adaptive, and data-driven clustering of temporal data across scientific and industrial domains.