Hypotheses testing in mixtures of time series II

Article type: Research Article

Authors: Michálek, Jirí

Affiliations: Institute of Information Theory And Automation, Czechoslovak Academy of Sciences, 182 08 Prague 8, Pod vodárenskou veží 4, Czechoslovakia

Abstract: The paper defines the decomposition problem of a mixture of time series into homogeneous components. First part deals with a solution based on Bayesian approach in the case of independent observations, the other part is devoted to a solution of on-line decomposition for a time series consisting of weakly stationary components.

Keywords: Bayesian test, Yule-Walker estimates, I-divergence rate, autoregressive model

DOI: 10.3233/INF-1992-3105

Journal: Informatica, vol. 3, no. 1, pp. 64-71, 1992