Multivariate time series modeling and classification via hierarchical VAR mixtures

DOI10.1016/j.csda.2006.03.002zbMath1157.62494OpenAlexW2110132815MaRDI QIDQ1010492

Gabriel Huerta, Raquel Prado, Francisco Molina

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.03.002

zbMATH Keywords

vector autoregressionsBIC-based model searchEEG analysishierarchical mixturesmultivariate non-stationary time series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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