Atypicality for vector Gaussian models
Elyas Sabeti, Anders Høst-Madsen · 2015
Atypical sequences are subsequences of long sequences that deviate from the `normal' data. In previous papers we have developed an information-theoretic approach to such sequences for discrete and real-valued data. In the current paper we extend the principle of real-valued data that follows vector Gaussian models, which allows for finding relationship between data. We include a simple application to stock market data.