Gaussian Mixture Models for Time Series Modelling, Forecasting, and Interpolation.
Emil EirolaAmaury LendassePublished in: IDA (2013)
Keyphrases
- gaussian mixture model
- weather forecasting
- financial time series
- mixture model
- forecasting accuracy
- arma model
- speaker recognition
- em algorithm
- box jenkins
- maximum likelihood
- expectation maximization
- feature vectors
- exponential smoothing
- arima model
- short term
- density estimation
- speaker identification
- stock market
- multivariate time series
- gaussian mixture
- moving average
- feature space
- covariance matrices
- chaotic time series
- exchange rate
- probability density
- neural network
- probability density function
- support vector regression
- variational bayes
- gaussian distribution
- stock price
- non stationary
- model selection
- prior knowledge
- reinforcement learning
- training data