CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES

DOI10.1142/S0219024906003457MaRDI QIDQ3379413zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Chernoffcluster analysisKullback--Leiblerlocally stationary processnonparametric spectral estimatorpeak robust

Mathematics Subject Classification ID

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

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Cites work

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

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(5)

• Discriminant analysis by quantile regression with application on the climate change problem
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• Clustering Locally Stationary Time Series Using Quantile Autocorrelations
• Clustering of discretely observed diffusion processes

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