Model-based clustering with Hidden Markov Model regression for time series with regime changes

Abstract: This paper introduces a novel model-based clustering approach for clustering time series which present changes in regime. It consists of a mixture of polynomial regressions governed by hidden Markov chains. The underlying hidden process for each cluster activates successively several polynomial regimes during time. The parameter estimation is performed by the maximum likelihood method through a dedicated Expectation-Maximization (EM) algorithm. The proposed approach is evaluated using simulated time series and real-world time series issued from a railway diagnosis application. Comparisons with existing approaches for time series clustering, including the stand EM for Gaussian mixtures, $K$-means clustering, the standard mixture of regression models and mixture of Hidden Markov Models, demonstrate the effectiveness of the proposed approach.