Copula-based segmentation of cylindrical time series

Publication date: Available online 20 April 2018Source: Statistics & Probability LettersAuthor(s): Francesco LagonaAbstractA hidden Markov model is proposed for segmenting cylindrical time series according to a finite number of latent classes, associated with copula-based cylindrical densities. It provides a parsimonious and computationally tractable approach that integrates circular–linear correlation, multimodality and temporal auto-correlation.

Source: Statistics and Probability Letters - July 5, 2018 Category: Statistics Source Type: research