CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES

DOI10.1142/S0219024906003457zbMATH Open1137.91595OpenAlexW2032566614MaRDI QIDQ3379413FDOQ3379413

Junichi Hirukawa

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003457

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zbMATH Keywords

cluster analysislocally stationary processnonparametric spectral estimatorChernoffKullback--Leiblerpeak robust

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On the Kullback-Leibler information divergence of locally stationary processes
• Time-frequency clustering and discriminant analysis.
• Discriminant analysis for locally stationary processes
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Nonparametric approach for discriminant analysis in time series
• LAN theorem for non-Gaussian locally stationary processes and its applications

Cited In (4)

• Clustering of discretely observed diffusion processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Discriminant analysis by quantile regression with application on the climate change problem

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