  This study considers the multivariate segmentation procedure under the
assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence
between two multivariate Gaussian distributions is employed as a discriminator
and a recursive segmentation procedure is proposed. The daily log-return time
series for 30 currency pairs consisting of 12 currencies for the last decade
(January 3, 2001 to December 30, 2011) are analyzed using the proposed method.
The proposed method can detect several important periods related to the
significant affairs of the international economy.
