Composite marginal discrepancies for state-space time series clustering

MaRDI QIDQ3145597zbMATH OpenFDO

Authors Eric D. Foster, Joseph E. Cavanaugh

Publication date 21 December 2012

Full work available at URL http://nonlinearstudies.com/index.php/mesa/article/view/809/518

zbMATH Keywords

Kalman smoothingKullback-Leibler informationMahalanobis distancestate space modeltime course experimentstime series analysis

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

Recommendations

• Clustering of discretely observed diffusion processes
• Time series clustering based on forecast densities
• Clustering and representation of time series. Application to dissimilarities based on divergences
• Method for clustering of heterogeneous time series
• Clustering time series, subspace identification and cepstral distances

Cited in

(3)

• A hierarchical framework for state-space matrix inference and clustering
• On a control chart for the Gini index with simulations
• Clustering of discretely observed diffusion processes

This page was built for publication: Composite marginal discrepancies for state-space time series clustering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3145597)