Assessing the Performance of Model-Based Clustering Methods in Multivariate Time Series with Application to Identifying Regional Wind Regimes

2015 ◽  
Vol 20 (2) ◽  
pp. 192-217 ◽  
Author(s):  
Karen Kazor ◽  
Amanda S. Hering
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Clustering Methods ◽  
Model Based Clustering ◽  
Model Based ◽  
Wind Regimes

scholarly journals Maximum Pseudolikelihood Estimation for Model-Based Clustering of Time Series Data

2017 ◽  
Vol 29 (4) ◽  
pp. 990-1020 ◽  
Author(s):  
Hien D. Nguyen ◽  
Geoffrey J. McLachlan ◽  
Pierre Orban ◽  
Pierre Bellec ◽  
Andrew L. Janke
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Expectation Maximization Algorithm ◽  
Resting State Fmri ◽  
Series Data ◽  
Ml Estimation ◽  
Model Based Clustering ◽  
Model Based ◽  
Ml Estimator ◽  
Maximum Pseudolikelihood

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 evaluating 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 with 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.

Model-Based Clustering of Multiple Time Series

2008 ◽  
Vol 26 (1) ◽  
pp. 78-89 ◽  
Author(s):  
Sylvia Fröhwirth-Schnatter ◽  
Sylvia Kaufmann
Keyword(s):  
Time Series ◽  
Multiple Time ◽  
Multiple Time Series ◽  
Model Based Clustering ◽  
Model Based
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