Bayes Procedures for the Classification of Multiple Polynomial Trends with Dependent Residuals
具有相关残差的多项式趋势分类:贝叶斯方法
Three procedures for the classification of multivariate time-dependent data are examined. Two are shown to be Bayes procedures assuming that the time dependence of the data can be described by polynomial regression functions and that the relation among successive residuals is described by a stationary and invertible ARMA process. Relative advantages of these procedures in practical applications and limitations of the model are discussed.