Time series clustering with ARMA mixtures

DOI10.1016/j.patcog.2003.12.018zbMath1117.62488OpenAlexW2129871038MaRDI QIDQ1764082

Dit-Yan Yeung, Yimin Xiong

Publication date: 23 February 2005

Published in: Pattern Recognition (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.patcog.2003.12.018

zbMATH Keywords

EM algorithmARMA modelTime series analysisMixture modelModel-based clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

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Uses Software

• System Identification Toolbox

Cites Work

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• A maximum likelihood methodology for clusterwise linear regression
• Estimating the dimension of a model
• A classification EM algorithm for clustering and two stochastic versions
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Asymptotics for and against cross-validation
• Model-Based Gaussian and Non-Gaussian Clustering
• Cluster analysis of gene expression dynamics
• Bayes Factors
• On Information and Sufficiency
• Bayesian clustering by dynamics

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