Learning to Recognize Time Series: Combining ARMA models with memory-based learning

  • Authors:
  • Kan Deng;Andrew W. Moore;Michael C. Nechyba

  • Affiliations:
  • -;-;-

  • Venue:
  • CIRA '97 Proceedings of the 1997 IEEE International Symposium on Computational Intelligence in Robotics and Automation
  • Year:
  • 1997

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Abstract

For a given time series observation sequence, we can esti- mate the parameters of the AutoRegression Moving Average (ARMA) model, thereby representing a potentially long time series by a limited dimensional vector. In many applications, these parameter vectors will be separable into different groups, due to the diff- erent underlying mechanisms that generate differing time series. We can then use classification algorithms to predict the class of a new, uncategorized time series. For the purposes of a highly autonomous system, our approach to this classification uses memory -based learning and intensive cross-validation for feature and kernel selection. In an example application, we distinguish between driving data of a skilled, sober driver vs. a drunk driver, by calculating the ARMA model for the respective time series. In this paper, we first give a brief introduction to the theory of time series. We then discuss in detail our approach to time series recognition, using the ARMA model, and finish with experimental results.