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Discrimination and clustering for multivariate time series. (English) Zbl 0906.62060
Summary: Minimum discrimination information provides a useful generalization of likelihood methodology for classification and clustering of multivariate time series. Discrimination between different classes of multivariate time series that can be characterized by differing covariance or spectral structures is of importance in applications occurring in the analysis of geophysical and medical time series data. For discrimination between such multivariate series, Kullback-Leibler discrimination information and the Chernoff information measure are developed for the multivariate non-Gaussian case. Asymptotic error rates and limiting distributions are given for a generalized spectral disparity measure that includes the foregoing criteria as special cases. Applications to problems of clustering and classifying earthquakes and mining explosions are given.

MSC:
62H30 Classification and discrimination; cluster analysis (statistical aspects)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
86A15 Seismology (including tsunami modeling), earthquakes
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