Clustering financial time series: New insights from an extended hidden Markov model

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 49.6K citations · Full text

Parameter Estimation, Engineering, Parameter Identification +16

Maximum Likelihood from Incomplete Data Via the <i>EM</i> Algorithm

A. P. Dempster, N. M. Laird, Donald B. Rubin · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1977 · 49.2K citations

Statistical Signal Processing, Mixture Distribution, Engineering +13

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Engineering, Data Science, Financial Time Series Analysis +9

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.5K citations

Mean Growth Rate, Tractable Approach, Macroeconomic Forecasting +17

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.6K citations

Market Microstructure, Economics, Financial Economics +7