Maximum pseudolikelihood estimation for model-based clustering of time series data

DOI10.1162/NECO_A_00938zbMATH1418.62254WikidataQ31155045MaRDI QIDQ5380690FDOQ5380690

Authors Pierre Orban, Pierre C. Bellec, Andrew L. Janke, Hien D. Nguyen, Geoffrey J. McLachlan

Publication date 6 June 2019

Published in Neural Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.08787

zbMATH Keywords

clusteringtime seriesmaximum pseudolikelihood estimation

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Biomedical imaging and signal processing (92C55)

Abstract: Mixture of autoregressions (MoAR) models provide a model-based approach to the clustering of time series data. The maximum likelihood (ML) estimation of MoAR models requires the evaluation of products of large numbers of densities of normal random variables. In practical scenarios, these products converge to zero as the length of the time series increases, and thus the ML estimation of MoAR models becomes infeasible without the use of numerical tricks. We propose a maximum pseudolikelihood (MPL) estimation approach as an alternative to the use of numerical tricks. The MPL estimator is proved to be consistent and can be computed via an EM (expectation--maximization) algorithm. Simulations are used to assess the performance of the MPL estimator against that of the ML estimator in cases where the latter was able to be calculated. An application to the clustering of time series data arising from a resting-state fMRI experiment is presented as a demonstration of the methodology.

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Cited in

(5)

• Bayesian model-based tight clustering for time course data
• Spatial clustering of time series via mixture of autoregressions models and Markov random fields
• Frugal Gaussian clustering of huge imbalanced datasets through a bin-marginal approach
• Robust clustering of COVID-19 cases across U.S. counties using mixtures of asymmetric time series models with time varying and freely indexed covariates
• A locally optimal algorithm for estimating a generating partition from an observed time series and its application to anomaly detection

Describes a project that uses

Uses Software

• R
• Rcpp

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