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I perform clustering of time series into k=[2,N] number of clusters by using either DTW+kmedoids or DTW+single linkage+hierarchical clustering (HC), as advised in a previous post: Dynamic Time Warping Clustering

Regarding the evaluation of optimum number of clusters, I want to use expectation–maximization (EM) Gaussian Mixture Models (GMM) and determine the k that maximizes the log-likelihood for each approach.

My questions are:

  • What should be the input dataset in EM/GMM? The DTW similarity distance or the raw dataset?
  • Can the initializations in EM/GMM be the clusters centers of either the kmedoids or randomly selected seeds from the HC clusters?
  • Should I run k-fold cross-validation of the input dataset with the EM/GMM and return the average log-likelihood value?
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  • $\begingroup$ In fact..based on this paper you can cluster time series with GMM/EM. I am working on how to implement with the well-known scikit-learn tools however. For an evaluation of hte optimal number of clusters, BIC/AIC are what you want to observe. These are also in the library for convenience. The link contains a great summary of how to use GMM/EM on certain data but not time series unfortunately. I'd like to hear of your updates as well. $\endgroup$
    – dia
    Mar 11, 2018 at 15:29

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Gaussian Mixture Modeling assumes ypur input data are coordinates in $R^d$ and contain Gaussian-shaped clusters. I don't think you can use this on time series. Also, GMM is a clustering approach on its own, and I don't see how you could use that to evaluate other clusterings.

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  • $\begingroup$ There was some research on energy data for outliers detection with time-series, which they used EM/GMM in this paper in cycled after applying z-score. However, I tried to re-implement it on similar energy data unsuccessfully. They amid to refill the gaps by this approach. $\endgroup$
    – Mario
    Dec 4, 2020 at 11:30

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