Discrimination and Clustering for Multivariate Time Series

DOI10.2307/2669629zbMath0906.62060OpenAlexW4244161474MaRDI QIDQ3839607

Masanobu Taniguchi, Yoshihide Kakizawa, Robert H. Shumway

Publication date: 9 August 1998

Full work available at URL: https://doi.org/10.2307/2669629

zbMATH Keywords

robustnessdivergencespectral analysisminimum discrimination informationKullback-Leibler discrimination informationChernoff information measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Seismology (including tsunami modeling), earthquakes (86A15)

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