Sylvia Fröhwirth-Schnatter
Biographic Data
| ID | 8920571 |
|---|---|
| NAME | Sylvia Fröhwirth-Schnatter |
| GIVEN NAMES | Sylvia |
| FAMILY NAME | Fröhwirth-Schnatter |
| SIGNATURE | FRÖHWIRTH-SCHNATTER S |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2008 |
| LATEST PUBLICATION YEAR | 2008 |
| H-INDEX | 0 |
Model-Based Clustering of Multiple Time Series
We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest to estimate the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods. We discuss model identification and base model selection on m…
No prominent works on this page.
Model-Based Clustering of Multiple Time Series
We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest to estimate the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods. We discuss model identification and base model selection on m…
Artificial Intelligence (1 work) · Bayesian probability (1 work) · Cluster analysis (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Data mining (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Machine learning (1 work) · Markov chain (1 work)