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arXiv 1609.07540cs.LG
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导数延迟嵌入:流时间序列的在线建模

Derivative Delay Embedding: Online Modeling of Streaming Time Series

University of Tenneessee(田纳西大学)

Zhifei Zhang, Yang Song, Wei Wang, Hairong Qi

摘要:

来自现实世界的惊人数量的流时间序列需要更高效和有效的在线建模解决方案。对于时间序列建模,大多数现有的工作做了一些不切实际的假设,如输入数据是固定的长度或对齐,这需要额外的努力分割或规范化的原始流数据。虽然一些文献声称他们的方法是不变的数据长度和错位,他们太耗时的流时间序列建模在线的方式。我们提出了一种新的和更实用的在线建模和分类方案,DDE-MGM,它不对时间序列做任何假设,同时保持高效率和最先进的性能。微分延迟嵌入(DDE)的发展,以增量方式将时间序列的嵌入空间,其中的数据的固有特性被保存为递归模式,而不管流的长度和错位。然后,提出了一种非参数马尔可夫地理模型(MGM)的模型和分类的模式在网上的方式。实验结果表明,所提出的DDE-MGM的有效性和优越的分类精度在在线设置相比,国家的最先进的。

英文摘要:

The staggering amount of streaming time series coming from the real world calls for more efficient and effective online modeling solution. For time series modeling, most existing works make some unrealistic assumptions such as the input data is of fixed length or well aligned, which requires extra effort on segmentation or normalization of the raw streaming data. Although some literature claim their approaches to be invariant to data length and misalignment, they are too time-consuming to model a streaming time series in an online manner. We propose a novel and more practical online modeling and classification scheme, DDE-MGM, which does not make any assumptions on the time series while maintaining high efficiency and state-of-the-art performance. The derivative delay embedding (DDE) is developed to incrementally transform time series to the embedding space, where the intrinsic characteristics of data is preserved as recursive patterns regardless of the stream length and misalignment. Then, a non-parametric Markov geographic model (MGM) is proposed to both model and classify the pattern in an online manner. Experimental results demonstrate the effectiveness and superior classification accuracy of the proposed DDE-MGM in an online setting as compared to the state-of-the-art.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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