Mixtures of ARMA Models for Model-Based Time Series Clustering

  • Authors:
  • Yimin Xiong;Dit-Yan Yeung

  • Affiliations:
  • -;-

  • Venue:
  • ICDM '02 Proceedings of the 2002 IEEE International Conference on Data Mining
  • Year:
  • 2002

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Abstract

Clustering problems are central to many knowledge discoveryand data mining tasks. However, most existing clusteringmethods can only work with fixed-dimensional representationsof data patterns. In this paper, we study the clusteringof data patterns that are represented as sequencesor time series possibly of different lengths. We propose amodel-based approach to this problem using mixtures of autoregressivemoving average (ARMA) models. We derive anexpectation-maximization (EM) algorithm for learning themixing coefficients as well as the parameters of the componentmodels. Experiments were conducted on simulatedand real datasets. Results show that our method comparesfavorably with another method recently proposed by othersfor similar time series clustering problems.