Quotation Frühwirth-Schnatter, Sylvia, Kaufmann, Sylvia. 2008. Model-based clustering of multiple time series. Journal of Business and Economic Statistics 26 (1): 78-89.


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Abstract

We propose to pool multiple time series into several groups using finite-mixture models. Within each group, the same econometric model holds. We estimate the groups of time series simultaneously with the group-specific model parameters using Bayesian Markov chain Monte Carlo simulation methods. We discuss model identification and base model selection on marginal likelihoods. With a simulation study, we document the efficiency gains in estimation and forecasting realized relative to overall pooling of the time series. To illustrate the usefulness of the method, we analyze extensions to unobserved heterogeneity and to Markov switching within clusters

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Business and Economic Statistics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, VW-A, WH-A
Language English
Title Model-based clustering of multiple time series
Volume 26
Number 1
Year 2008
Page from 78
Page to 89
URL http://pubs.amstat.org/doi/abs/10.1198/073500107000000106

Associations

People
Frühwirth-Schnatter, Sylvia (Details)
External
Kaufmann, Sylvia (Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
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