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Bayesian estimation for the local assessment of the multifractality parameter of multivariate time series.
Sébastien Combrexelle
Herwig Wendt
Yoann Altmann
Jean-Yves Tourneret
Stephen McLaughlin
Patrice Abry
Published in:
EUSIPCO (2016)
Keyphrases
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bayesian estimation
multivariate time series
multivariate time series data
posterior distribution
dimension reduction
temporal data
categorical data
spatial structure
temporal patterns
autoregressive
human motion
similarity measure
bayesian framework
parameter settings