Segmental dynamic factor analysis for time series of curves

Segmental dynamic factor analysis for time series of curves A new approach is introduced in this article for describing and visualizing time series of curves, where each curve has the particularity of being subject to changes in regime. For this purpose, the curves are represented by a regression model including a latent segmentation, and their temporal evolution is modeled through a Gaussian random walk over low-dimensional factors of the regression coefficients. The resulting model is nothing else than a particular state-space model involving discrete and continuous latent variables, whose parameters are estimated across a sequence of curves through a dedicated variational Expectation-Maximization algorithm. The experimental study conducted on simulated data and real time series of curves has shown encouraging results in terms of visualization of their temporal evolution and forecasting. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistics and Computing Springer Journals

Segmental dynamic factor analysis for time series of curves

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Publisher
Springer US
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Statistics; Statistics and Computing/Statistics Programs; Artificial Intelligence (incl. Robotics); Statistical Theory and Methods; Probability and Statistics in Computer Science
ISSN
0960-3174
eISSN
1573-1375
D.O.I.
10.1007/s11222-016-9707-5
Publisher site
See Article on Publisher Site

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