61 citations · 294 across the 31 of their papers we have counts for
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stat.ME2019★ 1 cited
Dynamic time series clustering via volatility change-points
Nick Whiteley
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical st…
stat.ML2019★ 1 cited
Exploiting locality in high-dimensional factorial hidden Markov models
Lorenzo Rimella, Nick Whiteley
We propose algorithms for approximate filtering and smoothing in high-dimensional Factorial hidden Markov models. The approximation involves discarding, in a principled way, likeli…