Clustering heteroskedastic time series by model-based procedures
نویسندگان
چکیده
منابع مشابه
Clustering heteroskedastic time series by model-based procedures
The interest toward the classification of time series has recently received a lot of contributions (see Piccolo, 2007, for a review). Most of these studies are devoted to capture the structure of the mean of the process hypothesized as generator of the data, whereas little attention has been devoted to the variance. When dealing with heteroskedastic time series, in which the (conditional) varia...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2008
ISSN: 0167-9473
DOI: 10.1016/j.csda.2008.03.020