On-line model selection of nonstationary time series using Gerschgorin disks.
Patrice MichelJean-Yves TourneretPetar M. DjuricPublished in: ICASSP (2001)
Keyphrases
- non stationary
- model selection
- cross validation
- autoregressive
- parameter estimation
- sample size
- bayesian learning
- hyperparameters
- regression model
- stock price
- feature selection
- financial time series
- error estimation
- selection criterion
- generalization error
- model selection criteria
- gaussian process
- machine learning
- random fields
- mixture model
- likelihood function
- statistical inference
- marginal likelihood
- parameter determination
- bayesian methods
- blind source separation
- variable selection
- concept drift
- decision trees