Clustering of discretely observed diffusion processes

In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time. The mesh of observations is not required to shrink to zero. As distance between two observed paths, the quadratic distance of the corresponding estimated Markov operators is considered. Analysis of both synthetic data and real financial data from NYSE/NASDAQ stocks, give evidence that this distance seems capable to catch differences in both the drift and diffusion coefficients contrary to other commonly used metrics

Recognition of elementary upper limb movements in an activity of daily living using data from wrist mounted accelerometers

In this paper we present a methodology as a proof of concept for recognizing fundamental movements of the humanarm (extension, flexion and rotation of the forearm) involved in ‘making-a-cup-of-tea’, typical of an activity of daily-living (ADL). The movements are initially performed in a controlled environment as part of a training phase and the data are grouped into three clusters using k-means clustering. Movements performed during ADL, forming part of the testing phase, are associated with each cluster label using a minimum distance classifier in a multi-dimensional feature space, comprising of features selected from a ranked set of 30 features, using Euclidean and Mahalonobis distance as the metric. Experiments were performed with four healthy subjects and our results show that the proposed methodology can detect the three movements with an overall average accuracy of 88% across all subjects and arm movement types using Euclidean distance classifier