Spatially‐correlated time series clustering using location‐dependent Dirichlet process mixture model

Abstract

The Dirichlet process mixture (DPM) model has been widely used as a Bayesian nonparametric model for clustering. However, the exchangeability assumption of the Dirichlet process is not valid for clustering spatially correlated time series as these data are indexed spatially and temporally. While analyzing spatially correlated time series, correlations between observations at proximal times and locations must be appropriately considered. In this study, we propose a location‐dependent DPM model by extending the traditional DPM model for clustering spatially correlated time series. We model the temporal pattern as an infinite mixture of Gaussian processes while considering spatial dependency using a location‐dependent Dirichlet process prior over mixture components. This encourages the assignment of observations from proximal locations to the same cluster. By contrast, because mixture atoms for modeling temporal patterns are shared across space, observations with similar temporal patterns can be still grouped together even if they are located far apart. The proposed model also allows the number of clusters to be automatically determined in the clustering procedure. We validate the proposed model using simulated examples. Moreover, in a real case study, we cluster adjacent roads based on their traffic speed patterns that have changed as a result of a traffic accident occurred in Seoul, South Korea.