Model-based clustering and segmentation of time series with changes in regime

DOI10.1007/S11634-011-0096-5MaRDI QIDQ143999zbMATH OpenOpenAlexFDO

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

Publication date 12 October 2011

Published in Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.6967

zbMATH Keywords

change in regimeclusteringEM algorithmhidden logistic processmixture modelregression mixturetime series

Mathematics Subject Classification ID

Theory of statistical experiments (62B15) Point estimation (62F10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: Mixture model-based clustering, usually applied to multidimensional data, has become a popular approach in many data analysis problems, both for its good statistical properties and for the simplicity of implementation of the Expectation-Maximization (EM) algorithm. Within the context of a railway application, this paper introduces a novel mixture model for dealing with time series that are subject to changes in regime. The proposed approach consists in modeling each cluster by a regression model in which the polynomial coefficients vary according to a discrete hidden process. In particular, this approach makes use of logistic functions to model the (smooth or abrupt) transitions between regimes. The model parameters are estimated by the maximum likelihood method solved by an Expectation-Maximization algorithm. The proposed approach can also be regarded as a clustering approach which operates by finding groups of time series having common changes in regime. In addition to providing a time series partition, it therefore provides a time series segmentation. The problem of selecting the optimal numbers of clusters and segments is solved by means of the Bayesian Information Criterion (BIC). The proposed approach is shown to be efficient using a variety of simulated time series and real-world time series of electrical power consumption from rail switching operations.

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Cited in

(31)

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• Gaussian-based visualization of Gaussian and non-Gaussian-based clustering
• Pseudo-quantile functional data clustering
• A new Dirichlet process for mining dynamic patterns in functional data
• Greedy Gaussian segmentation of multivariate time series
• Functional data clustering: a survey
• The discriminative functional mixture model for a comparative analysis of bike sharing systems
• Piecewise regression mixture for simultaneous functional data clustering and optimal segmentation
• Clustering Functional Data on Convex Function Spaces
• Random effects mixture models for clustering electrical load series
• Simultaneous Registration and Clustering for Multidimensional Functional Data
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• Unsupervised learning of regression mixture models with unknown number of components
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• ClaSP: parameter-free time series segmentation
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• Clustering functional data via variational inference
• On the ADAC issue 2 of volume 20 (2026)
• Censored trajectory data clustering using mixture of semi-Markov models with application to targeted marketing
• Model-based clustering of categorical time series

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