Time series relevance determination through a topology-constrained hidden markov model

Authors:
Iván Olier;Alfredo Vellido
Affiliations:
Department of Computing Languages and Systems (LSI), Polytechnic University of Catalonia (UPC), Barcelona, Spain;Department of Computing Languages and Systems (LSI), Polytechnic University of Catalonia (UPC), Barcelona, Spain
Venue:
IDEAL'06 Proceedings of the 7th international conference on Intelligent Data Engineering and Automated Learning
Year:
2006

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Abstract

Most of the existing research on multivariate time series concerns supervised forecasting problems. In comparison, little research has been devoted to unsupervised methods for the visual exploration of this type of data. The interpretability of time series clustering results may be difficult, even in exploratory visualization, for high dimensional datasets. In this paper, we define and test an unsupervised time series relevance determination method for Generative Topographic Mapping Through Time, a topology-constrained Hidden Markov Model that performs simultaneous time series data clustering and visualization. This relevance determination method can be used as a basis for time series selection, and should ease the interpretation of the time series clustering results.