Bayesian Clustering of Categorical Time Series

In many areas of applied statistics like economics or finance it is often desirable to find groups of similar time series in a set or panel of time series. Therefore, clustering techniques are required to determine subsets of similar time series. While distance-based clustering methods cannot easily be extended to time series data, model-based clustering based on finite mixture models extends to time series data in quite a natural way. The author Christoph Pamminger proposes and discusses t...