MODE DETERMINATION FOR MULTIVARIATE TIME SERIES DATA

Embodiments relate to mode determination for multivariate time series data. An aspect includes determining first within-mode and first cross-mode parameters for a first number of modes, each mode comprising one or more time periods in the multivariate time series. Another aspect includes determining a first likelihood of the at least one multivariate time series based on the first sets of within-mode parameters and first set of cross-mode parameters. Another aspect includes determining second within-mode and second cross-mode parameters for a second number of modes. Another aspect includes determining a second likelihood of the at least one multivariate time series based on the second sets of within-mode parameters and second set of cross-mode parameters. Another aspect includes based on the first likelihood being higher than the second likelihood, selecting the first number of modes to model the at least one multivariate time series.