189 citations · 888 across the 107 of their papers we have counts for
4 papers · 1 filter
Robust fuzzy clustering for high-dimensional multivariate time series with outlier detection
Ziling Ma, Ángel López-Oriona, Hernando Ombao +1
Fuzzy clustering provides a natural framework for modeling partial memberships, particularly important in multivariate time series (MTS) where state boundaries are often ambiguous.…
An Improved Unbiased Particle Filter
Ajay Jasra, Mohamed Maama, Hernando Ombao
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. We assume that, for numerical rea…
Bayesian Parameter Inference for Partially Observed SDEs driven by Fractional Brownian Motion
Mohamed Maama, Ajay Jasra, Hernando Ombao
In this paper we consider Bayesian parameter inference for partially observed fractional Brownian motion (fBM) models. The approach we follow is to time-discretize the hidden proce…
The Hierarchical Spectral Merger algorithm: A New Time Series Clustering Procedure
Carolina Euan, Hernando Ombao, Joaquin Ortega
We present a new method for time series clustering which we call the Hierarchical Spectral Merger (HSM) method. This procedure is based on the spectral theory of time series and id…