Large margin mixture of AR models for time series classification

In this paper, we propose the large margin autoregressive (LMAR) model for classification of time series patterns. The parameters of the generative AR models for different classes are estimated using the margin of the boundaries of AR models as the optimization criterion. Models that use a mixture of AR (MAR) models are considered for representing the data that cannot be adequately represented using a single AR model for a class. Based on a mixture model representing each class, we propose the large margin mixture of AR (LMMAR) models. The proposed methods are applied on the simulated time series data, electrocardiogram data, speech data for E-set in English alphabet and electroencephalogram time series data. Performance of the proposed methods is compared with that of support vector machine (SVM) based classifier that uses AR coefficients based features. The proposed methods give a better classification performance compared to the SVM based classifier. Being generative models, the LMAR and LMMAR models provide a generative interpretation that enables utilization of the rejection option in the high risk classification tasks. The proposed methods can also be used for detection of novel time series data.

Graphical abstractFigure optionsDownload full-size imageDownload as PowerPoint slideHighlights► We model time series data is using autoregressive (AR)/mixture of AR (MAR) models. ► The margin between different classes represented using AR/MAR models is maximized. ► Hence, we propose large margin AR (LMAR) and large margin MAR (LMMAR) models for time series classification. ► We study the performance of LMAR and LMMAR models on different benchmark datasets. ► The proposed methods give a better classification performance compared to the SVM based classifier.