Classifying functional time series

  • Authors:
  • R. H. Glendinning;S. L. Fleet

  • Affiliations:
  • QinetiQ ltd, Great Malvern, Worcestershire, UK;QinetiQ ltd, Great Malvern, Worcestershire, UK

  • Venue:
  • Signal Processing
  • Year:
  • 2007

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Abstract

We consider the problem of classifying a high-dimensional time series into a number of disjoint classes defined by training data. Techniques of this type are an important component of a number of emerging technologies. These include the use of dense sensor arrays for condition monitoring, brain-computer interfaces for communications and control, the detection of moving pedestrians from sequences of images and the study of cognitive function using high-resolution electroencephalography (EEG). We propose a novel approach to problems of this type using the parameters of an underlying functional auto-regression model. We compare the performance of this approach using two contrasting data sets. The first is based on simulated series with different characteristics and sampling schemes and a second based on high-dimensional times series generated by multi-channel EEG. Both experiments show that our approach outperforms conventional time series methods by exploiting low-intrinsic dimensionality (smoothness). In addition, our simulation experiments show that good performance can be maintained for data generated by non-stationary sampling schemes, the Latter causing large reductions in the performance of conventional procedures. These experiments suggest that meaningful information can be extracted from high-resolution EEG.