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stat.ME2022
K-ARMA Models for Clustering Time Series Data
Derek O. Hoare, David S. Matteson, Martin T. Wells
We present an approach to clustering time series data using a model-based generalization of the K-Means algorithm which we call K-Models. We prove the convergence of this general a…
stat.ML2022
Interpretable Latent Variables in Deep State Space Models
Haoxuan Wu, David S. Matteson, Martin T. Wells
We introduce a new version of deep state-space models (DSSMs) that combines a recurrent neural network with a state-space framework to forecast time series data. The model estimate…