Pattern recognition in multivariate time series

2011 ◽  
Author(s):  
Stephan Spiegel ◽  
Brijnesh Johannes Jain ◽  
Ernesto William De Luca ◽  
Sahin Albayrak
Keyword(s):  
Time Series ◽  
Pattern Recognition ◽  
Multivariate Time Series

PATTERN RECOGNITION OF THE TERM STRUCTURE USING INDEPENDENT COMPONENT ANALYSIS

2006 ◽  
Vol 20 (02) ◽  
pp. 173-188 ◽  
Author(s):  
EDMOND HAOCUN WU ◽  
PHILIP L. H. YU
Keyword(s):  
Time Series ◽  
Pattern Recognition ◽  
Independent Component Analysis ◽  
Term Structure ◽  
Financial Time Series ◽  
Empirical Studies ◽  
Multivariate Time Series ◽  
Principal Component ◽  
Component Analysis ◽  
Independent Component

Term structure is a useful curve describing some financial asset as a function of time to maturity or expiration. In this paper, we propose to use Independent Component Analysis (ICA) to model the term structure of multiple yield curves. The idea is that we first employ ICA to decompose the multivariate time series, then we suggest two ICA methods for dimension reduction and pattern recognition of the term structure. We also compare the results by using an alternative method, Principal Component Analysis (PCA). The empirical studies suggest that the proposed ICA approaches outperform PCA methods in modeling the term structure. This model can be used in financial time series analysis as well as related financial applications.

Pattern Recognition using Multivariate Time Series for Fault Detection in a Thermoeletric Unit

2012 ◽  
pp. 315-319 ◽  
Author(s):  
Otacílio José Pereira ◽  
Luciana de Almeida Pacheco ◽  
Sérgio Sá Barreto ◽  
Weliton Emanuel ◽  
Cristiano Hora de Oliveira Fontes ◽  
...  
Keyword(s):  
Time Series ◽  
Pattern Recognition ◽  
Fault Detection ◽  
Multivariate Time Series
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