Composite marginal discrepancies for state-space time series clustering

zbMATH Open1253.62059MaRDI QIDQ3145597FDOQ3145597

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

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zbMATH Keywords

state space modelMahalanobis distancetime series analysisKalman smoothingKullback-Leibler informationtime course experiments

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)

Cited In (3)

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

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