A graph-based superframework for mixture model estimation using EM: an analysis of US wholesale electricity markets

Autor: Carlo Mari, Cristiano Baldassari
Rok vydání: 2023
Předmět:
Zdroj: Neural Computing and Applications.
ISSN: 1433-3058
0941-0643
DOI: 10.1007/s00521-023-08468-2
Popis: A fully unsupervised graph-based superframework is proposed to handle the EM initialization problem for estimating mixture models on financial time series. Using a complex network approach that links time series and graphs, the graph-structured information derived from the observed data is exploited to produce a meaningful starting point for the EM algorithm. It is shown that structural information derived by complex graphs can definitely capture time series behavior and nonlinear relationships between different observations. The proposed methodology is employed to estimate Gaussian mixture models on US wholesale electricity market prices using two different configurations of the superframework. The obtained results show that the proposed methodology performs better than conventional initialization methods, such as K-means based techniques. The improvements are significant on the overall representation of the empirical distribution of log-returns and, in particular, on the first four moments. Moreover, this approach has a high degree of generalization and flexibility, exploiting graph manipulation and employing functional operating blocks, which can be adapted to very different empirical situations.
Databáze: OpenAIRE
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