Time Series Cluster Kernel for Learning Similarities between Multivariate Time Series with Missing Data

Similarity-based approaches represent a promising direction for time series analysis. However, many such methods rely on parameter tuning, and some have shortcomings if the time series are multivariate (MTS), due to dependencies between attributes, or the time series contain missing data. In this paper, we address these challenges within the powerful context of kernel methods by proposing the robust \emph{time series cluster kernel} (TCK). The approach taken leverages the missing data handling properties of Gaussian mixture models (GMM) augmented with informative prior distributions. An ensemble learning approach is exploited to ensure robustness to parameters by combining the clustering results of many GMM to form the final kernel. We evaluate the TCK on synthetic and real data and compare to other state-of-the-art techniques. The experimental results demonstrate that the TCK is robust to parameter choices, provides competitive results for MTS without missing data and outstanding results for missing data.Comment: 23 pages, 6 figure

Hierarchical growing neural gas

“The original publication is available at www.springerlink.com”. Copyright Springer.This paper describes TreeGNG, a top-down unsupervised learning method that produces hierarchical classification schemes. TreeGNG is an extension to the Growing Neural Gas algorithm that maintains a time history of the learned topological mapping. TreeGNG is able to correct poor decisions made during the early phases of the construction of the tree, and provides the novel ability to influence the general shape and form of the learned hierarchy