Time series modeling by a regression approach based on a latent process

DOI10.1016/j.neunet.2009.06.040zbMath1342.62144arXiv1312.6969WikidataQ38435571 ScholiaQ38435571MaRDI QIDQ141404

Faicel Chamroukhi, Allou Samé, Faicel Chamroukhi, Gérard Govaert, Patrice Aknin, Patrice Aknin, Allou Samé, Gérard Govaert

Publication date: July 2009

Published in: Neural Networks (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.6969

zbMATH Keywords

classification; EM algorithm; time series; maximum likelihood; regression; hidden process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62F10: Point estimation

62J12: Generalized linear models (logistic models)

91B84: Economic time series analysis

Related Items

A Locally Optimal Algorithm for Estimating a Generating Partition from an Observed Time Series and Its Application to Anomaly Detection, Unsupervised learning of regression mixture models with unknown number of components, meteorits, Laplace mixture of linear experts, Segmental dynamic factor analysis for time series of curves, Robust mixture of experts modeling using the \(t\) distribution, Piecewise regression mixture for simultaneous functional data clustering and optimal segmentation, Regularized Estimation and Feature Selection in Mixtures of Gaussian-Gated Experts Models

Cites Work

• Estimating the dimension of a model
• A clustering technique for the identification of piecewise affine systems
• On Grouping for Maximum Homogeneity
• On the approximation of curves by line segments using dynamic programming
• Estimating Mixtures of Normal Distributions and Switching Regressions
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item