Abstract #300629

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JSM 2002 Abstract #300629
Activity Number: 355
Type: Contributed
Date/Time: Wednesday, August 14, 2002 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #300629
Title: Analysis of Mixtures of Time Series Models
Author(s): Ruby Weng*+ and Ming-Wei Chang and Chih-Jen Lin
Affiliation(s): National Chengchi University and National Taiwan University and National Taiwan University
Address: Department of Statistics, National Chengchi Univ., Taipei, , 11623, Taiwan
Keywords: time series ; mixture models ; support vector machines ; EM ; annealed competition
Abstract:

Suppose that a time series {x(t):t=1,...,T} is generated by m unknown functions. Let r(t) denote the state at time t; that is, r(t)=i if x(t) is generated by the i-th function, where i=1,...,m. The task is to determine the m functions and r(t), for t=1,...,T. We propose to use support vector machines (SVM) and EM-type estimation to solve this problem. We then discuss its application to some time series examples.

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