Model-based clustering of time-dependent observations with common structural changes
基于共同结构变化的时间序列模型聚类AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确以时间序列为建模对象,并依据共同结构变化的发生时间进行聚类。
基于共同结构变化的时间序列模型聚类AI 解读 ↓
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We propose a novel model-based clustering approach for samples of time series. We assume as a unique commonality that two observations belong to the same group if structural changes in their behaviours happen at the same time. We resort to a latent representation of structural changes in each time series based on random orders to induce ties among different observations. Such an approach results in a general modeling strategy and can be combined with many time-dependent models known in the literature. Our studies have been motivated by an epidemiological problem, where we want to provide clusters of different countries of the European Union, where two countries belong to the same cluster if the spreading processes of the COVID-19 virus had structural changes at the same time.
We study structural changes in multivariate time series by estimating and comparing stationary graphs of macroeconomic time series before and after an economic crisis, such as the Great Recession. Building on a latent time series framework called Orthogonally-rotated Univariate Time-series (OUT), we propose a shared-parameter framework-the spOUT autoregressive model (spOUTAR)-that jointly models two related multivariate time series and enables coherent Bayesian estimation of…
带自回归误差的线性回归在线变点检测:流式变分贝叶斯方法
Large-scale streaming time-series regression requires methods that can detect structural changes while accounting for serially correlated errors and quantifying uncertainty about the current regime. We propose a streaming variational Bayes method for linear regression with autoregressive errors that combines online changepoint detection with sequential posterior inference. The proposed method processes observations in chronological mini-batches and uses a finite-mixture…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
高维矩阵时间序列均值与协方差的多重变点检测
This paper studies simultaneous change point detection in the first- and second-order structures of high-dimensional matrix-valued time series. Specifically, we extend the framework of main effect factor models to accommodate multiple change points so that shifts in the mean and covariance structures are characterized by changes in the trend-stationary main effects main effects and in the factor-driven common components, respectively. Under this framework, the two types of…
多维速度变化检测中惩罚最大似然估计的一致性
We establish statistical consistency for the penalized maximum-likelihood estimator underlying CPLASS, a method for detecting changes in velocity in $d$-dimensional time-series data. The signal is modeled as a continuous piecewise-linear trajectory observed with independent Gaussian noise. Unlike classical change-in-mean models, continuity across adjacent segments couples their parameters and prevents direct application of standard segmentation arguments. Under compact…
张量因子模型中多个变点的检测与模态识别
We study the problem of modeling high-dimensional tensor-valued time series under a Tucker decomposition-based factor model while permitting the presence of multiple structural change points. Such data call for a method that (i) handles high dimensionality and complex dependence while achieving consistency in multiple change points and further, (ii) addresses a unique challenge posed by the multi-dimensional array setting, of identifying the modes associated with each change…