[R] Classification of Multivariate Time Series

Dear All, Apologies for not posting a code snippet, but I really need a pointer about a methodology to look at my data and possibly some R package which can ease my task. I am given a set consisting of several multivariate noisy time series, let's call it {A}. Each A_i in {A}, in turn, consists of

Re: [R] Classification of Multivariate Time Series

Did you have a look at Dynamic Time Warping and dtw package? Best, E. On Mon, May 27, 2013 at 01:34:42PM +0200, Lorenzo Isella wrote: Dear All, Apologies for not posting a code snippet, but I really need a pointer about a methodology to look at my data and possibly some R package which can

Re: [R] Classification of Multivariate Time Series

Look at: State - Space Discrimination and Clustering of. Atmospheric Time Series Data. Based on Kullback Information Measures. Thomas Bengtsson If you Google the topic, there are host of other papers too, but the one meshes with exiting star-space methods. -Roy On May 27, 2013, at 4:34 AM,