94 search results - page 3 / 19 » Modeling changing dependency structure in multivariate time ... |
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
— In this paper we present a structure theory for generalized linear dynamic factor models (GDFM’s). Emphasis is laid on the so-called zeroless case. GDFM’s provide a way of ...
AAAI
2000
13 years 6 months ago
2000
We present a Bayesian clustering algorithm for multivariate time series. A clustering is regarded as a probabilistic model in which the unknown auto-correlation structure of a tim...
SDM
2009
SIAM
14 years 2 months ago
2009
SIAM
Anomaly detection in multivariate time series is an important data mining task with applications to ecosystem modeling, network traffic monitoring, medical diagnosis, and other d...
WSC
2007
13 years 7 months ago
2007
Copulas are used in finance and insurance for modeling stochastic dependency. They comprehend the entire dependence structure, not only the correlations. Here they are estimated ...
JMLR
2011
13 years 9 days ago
2011
A widely agreed upon definition of time series causality inference, established in the seminal 1969 article of Clive Granger (1969), is based on the relative ability of the histor...