Joint segmentation of multivariate Gaussian processes using mixed linear models

نویسندگان

  • Franck Picard
  • Emilie Lebarbier
  • E. Budinskà
  • Stéphane Robin
چکیده

The joint segmentation of multiple series is considered. A mixed linear model is used to account for both covariates and correlations between signals. An estimation algorithm based on EM which involves a new dynamic programming strategy for the segmentation step is proposed. The computational efficiency of this procedure is shown and its performance is assessed through simulation experiments. Applications are presented in the field of climatic data analysis. © 2010 Elsevier B.V. All rights reserved.

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عنوان ژورنال:
  • Computational Statistics & Data Analysis

دوره 55  شماره 

صفحات  -

تاریخ انتشار 2011