Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes

DOI10.1007/S10994-019-05818-XzbMATH Open1446.62181arXiv1801.09049OpenAlexW2963128275MaRDI QIDQ2008644FDOQ2008644

Authors: Qidi Peng, Nan Rao, Ran Zhao 

Publication date: 26 November 2019

Published in: Machine Learning (Search for Journal in Brave)

Abstract: We introduce a new unsupervised learning problem: clustering wide-sense stationary ergodic stochastic processes. A covariance-based dissimilarity measure together with asymptotically consistent algorithms is designed for clustering offline and online datasets, respectively. We also suggest a formal criterion on the efficiency of dissimilarity measures, and discuss of some approach to improve the efficiency of our clustering algorithms, when they are applied to cluster particular type of processes, such as self-similar processes with wide-sense stationary ergodic increments. Clustering synthetic data and real-world data are provided as examples of applications.

Full work available at URL: https://arxiv.org/abs/1801.09049

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zbMATH Keywords

cluster analysisself-similar processescovariance-based dissimilarity measurewide-sense stationary ergodic processes

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05) Stationary stochastic processes (60G10)

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Cited In (2)

• Weakly consistent offline clustering of ARMA processes
• Covariance-based soft clustering of functional data based on the Wasserstein-Procrustes metric

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