Clustering Multiple Time Series with Structural Breaks

DOI10.1111/jtsa.12434zbMath1419.62252OpenAlexW2901587175MaRDI QIDQ5382475

Yongning Wang, Ruey S. Tsay

Publication date: 17 June 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12434

zbMATH Keywords

Markov chain Monte Carlomodel-based clusteringforecastingstructural breaksbusiness cycle analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Bayesian inference (62F15) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

Autoregressive mixture models for clustering time series, A testing approach to clustering scalar time series, Structural Breaks in Grouped Heterogeneity

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