Classification of multivariate time series using two-dimensional singular value decomposition

  • Authors:
  • Xiaoqing Weng;Junyi Shen

  • Affiliations:
  • Institute of Computer Software, Xi'an Jiaotong University, Xi'an, Shaanxi 710049, China and Computer Center of Hebei University of Economics and Trade, Shijiazhuang, China;Institute of Computer Software, Xi'an Jiaotong University, Xi'an, Shaanxi 710049, China

  • Venue:
  • Knowledge-Based Systems
  • Year:
  • 2008

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Abstract

Multivariate time series (MTS) are used in very broad areas such as multimedia, medicine, finance and speech recognition. A new approach for MTS classification using two-dimensional singular value decomposition (2dSVD) is proposed. 2dSVD is an extension of standard SVD, it captures explicitly the two-dimensional nature of MTS samples. The eigenvectors of row-row and column-column covariance matrices of MTS samples are computed for feature extraction. After the feature matrix is obtained for each MTS sample, one-nearest-neighbor classifier is used for MTS classification. Experimental results performed on five real-world datasets demonstrate the effectiveness of our proposed approach.