Learning the Number of Autoregressive Mixtures in Time Series Using the Gap Statistics

Jie Ding, Mohammad Noshad, Vahid Tarokh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

Using a proper model to characterize a time series is crucial in making accurate predictions. In this work we use time-varying autoregressive process (TVAR) to describe non-stationary time series and model it as a mixture of multiple stable autoregressive (AR) processes. We introduce a new model selection technique based on Gap statistics to learn the appropriate number of AR filters needed to model a time series. We define a new distance measure between stable AR filters and draw a reference curve that is used to measure how much adding a new AR filter improves the performance of the model, and then choose the number of AR filters that has the maximum gap with the reference curve. To that end, we propose a new method in order to generate uniform random stable AR filters in root domain. Numerical results are provided demonstrating the performance of the proposed approach.

Original languageEnglish (US)
Title of host publicationProceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015
EditorsXindong Wu, Alexander Tuzhilin, Hui Xiong, Jennifer G. Dy, Charu Aggarwal, Zhi-Hua Zhou, Peng Cui
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1441-1446
Number of pages6
ISBN (Electronic)9781467384926
DOIs
StatePublished - Jan 29 2016
Externally publishedYes
Event15th IEEE International Conference on Data Mining Workshop, ICDMW 2015 - Atlantic City, United States
Duration: Nov 14 2015Nov 17 2015

Publication series

NameProceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015

Other

Other15th IEEE International Conference on Data Mining Workshop, ICDMW 2015
CountryUnited States
CityAtlantic City
Period11/14/1511/17/15

Bibliographical note

Funding Information:
This research was funded by the Defense Advanced Research Projects Agency (DARPA) under grant number W911NF-14-1-0508.

Keywords

  • Gap statistics
  • Uniform distribution
  • stable autoregressive filters
  • time-varying autoregressive process

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