Time Series Clustering with an EM algorithm for Mixtures of Linear Gaussian State Space Models (accepted by Pattern Recognit in 2023)

This is the origin Python implementation of the following paper: Time Series Clustering with an EM algorithm for Mixtures of Linear Gaussian State Space Models.

Installation

git clone git@github.com:ur17/em_mlgssm.git
pip install -e em_mlgssm

Testing

If you want to run test cases, install following Python library "pykalman".

pip install pykalman

Run all test cases

python -m unittest discover -v

Run specific test case

python -m unittest tests.test_kalmanfilter_and_smoother.Test_filter_and_smoother
python -m unittest tests.test_em_algorithm_for_lgssm.Test_EM_lgssm
python -m unittest tests.test_em_algorithm_for_mlgssm.Test_EM_mlgssm