A new cluster analysis method, $K$-quantiles clustering, is introduced. $K$-quantiles clustering can be computed by a simple greedy algorithm in the style of the classical Lloyd’s algorithm for $K$-means. It can be applied to large and high-dimensional datasets. It allows for within-cluster skewness and internal variable scaling based on within-cluster variation. Different versions allow for different levels of parsimony and computational efficiency. Although $K$-quantiles clustering is conceived as nonparametric, it can be connected to a fixed partition model of generalized asymmetric Laplace-distributions. The consistency of $K$-quantiles clustering is proved, and it is shown that $K$-quantiles clusters correspond to well separated mixture components in a nonparametric mixture. In a simulation, $K$-quantiles clustering is compared with a number of popular clustering methods with good results. A high-dimensional microarray dataset is clustered by $K$-quantiles.
"Quantile-based clustering." Electron. J. Statist. 13 (2) 4849 - 4883, 2019. https://doi.org/10.1214/19-EJS1640