Model-based clustering of regression time series data via APECM-an AECM algorithm sung to an even faster beat

We propose a model‐based approach for clustering time series regression data in an unsupervised machine learning framework to identify groups under the assumption that each mixture component follows a Gaussian autoregressive regression model of order p. Given the number of groups, the traditional ma...

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Bibliographic Details
Published in:Statistical analysis and data mining 2011-12, Vol.4 (6), p.567-578
Main Authors: Chen, Wei-Chen, Maitra, Ranjan
Format: Article
Language:English
Subjects:
ALGORITHMS
APECM
autoregressive model
ECONOMICS
EM algorithm
finite mixture model
GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
LEARNING
MIXTURES
model-based clustering
mutual funds
SIMULATION
STORAGE
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