Abstract
In this paper, dynamic programming (DP) algorithm is applied to automatically segment multivariate time series. The definition and recursive formulation of segment errors of univariate time series are extended to multivariate time series, so that DP algorithm is computationally viable for multivariate time series. The order of autoregression and segmentation are simultaneously determined by Schwarz’s Bayesian information criterion. The segmentation procedure is evaluated with artificially synthesized and hydrometeorological multivariate time series. Synthetic multivariate time series are generated by threshold autoregressive model, and in real-world multivariate time series experiment we propose that besides the regression by constant, autoregression should be taken into account. The experimental studies show that the proposed algorithm performs well.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Stochastic Environmental Research and Risk Assessment
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
