CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES

DOI10.1142/S0219024906003457zbMath1137.91595OpenAlexW2032566614MaRDI QIDQ3379413

Junichi Hirukawa

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003457

zbMATH Keywords

cluster analysislocally stationary processnonparametric spectral estimatorChernoffKullback--Leiblerpeak robust

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Discriminant analysis by quantile regression with application on the climate change problem ⋮ Clustering of discretely observed diffusion processes

Cites Work

• Time-frequency clustering and discriminant analysis.
• Discriminant analysis for locally stationary processes
• On the Kullback-Leibler information divergence of locally stationary processes
• LAN theorem for non-Gaussian locally stationary processes and its applications
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Nonparametric approach for discriminant analysis in time series
• Maximum likelihood estimation and model selection for locally stationary processes^∗

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