Nonstationary time series analysis by temporal clustering

Shai Policker, Amir B. Geva

Research output: Contribution to journalArticlepeer-review

29 Scopus citations

Abstract

The object of this paper is to present a model and a set of algorithms for estimating the parameters of a nonstationary time series generated by a continuous change in regime. We apply fuzzy clustering methods to the task of estimating the continuous drift in the time series distribution and interpret the resulting temporal membership matrix as weights in a time varying, mixture probability distribution function (PDF). We analyze the stopping conditions of the algorithm to infer a novel cluster validity criterion for fuzzy clustering algorithms of temporal patterns. The algorithm performance is demonstrated with three different types of signals.

Original languageEnglish
Pages (from-to)339-343
Number of pages5
JournalIEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics
Volume30
Issue number2
DOIs
StatePublished - 3 Dec 2000

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Software
  • Information Systems
  • Human-Computer Interaction
  • Computer Science Applications
  • Electrical and Electronic Engineering

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