Tracking of non-stationary time-series using resource allocating RBF networks

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Using electricity load data and training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise and forgetting factors for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. We also find that a recently-proposed alternative novelty criterion, found to be more robust in stationary environments, does not fare so well in the non-stationary case due to the need for filter adaptability during training.

Towards a framework for combining stochastic and deterministic descriptions of nonstationary financial time series

We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.

Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

Hidden state models for time series

Amongst all the objectives in the study of time series, uncovering the dynamic law of its generation is probably the most important. When the underlying dynamics are not available, time series modelling consists of developing a model which best explains a sequence of observations. In this thesis, we consider hidden space models for analysing and describing time series. We first provide an introduction to the principal concepts of hidden state models and draw an analogy between hidden Markov models and state space models. Central ideas such as hidden state inference or parameter estimation are reviewed in detail. A key part of multivariate time series analysis is identifying the delay between different variables. We present a novel approach for time delay estimating in a non-stationary environment. The technique makes use of hidden Markov models and we demonstrate its application for estimating a crucial parameter in the oil industry. We then focus on hybrid models that we call dynamical local models. These models combine and generalise hidden Markov models and state space models. Probabilistic inference is unfortunately computationally intractable and we show how to make use of variational techniques for approximating the posterior distribution over the hidden state variables. Experimental simulations on synthetic and real-world data demonstrate the application of dynamical local models for segmenting a time series into regimes and providing predictive distributions.

Analysis of nocturnal oxygen saturation recordings using kernel entropy to assist in sleep apnea-hypopnea diagnosis

In this study, a new entropy measure known as kernel entropy (KerEnt), which quantifies the irregularity in a series, was applied to nocturnal oxygen saturation (SaO 2) recordings. A total of 96 subjects suspected of suffering from sleep apnea-hypopnea syndrome (SAHS) took part in the study: 32 SAHS-negative and 64 SAHS-positive subjects. Their SaO 2 signals were separately processed by means of KerEnt. Our results show that a higher degree of irregularity is associated to SAHS-positive subjects. Statistical analysis revealed significant differences between the KerEnt values of SAHS-negative and SAHS-positive groups. The diagnostic utility of this parameter was studied by means of receiver operating characteristic (ROC) analysis. A classification accuracy of 81.25% (81.25% sensitivity and 81.25% specificity) was achieved. Repeated apneas during sleep increase irregularity in SaO 2 data. This effect can be measured by KerEnt in order to detect SAHS. This non-linear measure can provide useful information for the development of alternative diagnostic techniques in order to reduce the demand for conventional polysomnography (PSG). © 2011 IEEE.

Practical methods of tracking of nonstationary time series applied to real-world data

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Two real world data sets, containing electricity load demands and foreign exchange market prices, are used to test several different methods, ranging from linear models with fixed parameters, to non-linear models which adapt both parameters and model order on-line. Training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. The results of our experiments show that there are advantages to be gained in tracking real world non-stationary data through the use of more complex adaptive models.

A near real-time water surface detection method based on HSV transformation of MODIS multi-Spectral time series data

In the face of global population growth and the uneven distribution of water supply, a better knowledge of the spatial and temporal distribution of surface water resources is critical. Remote sensing provides a synoptic view of ongoing processes, which addresses the intricate nature of water surfaces and allows an assessment of the pressures placed on aquatic ecosystems. However, the main challenge in identifying water surfaces from remotely sensed data is the high variability of spectral signatures, both in space and time. In the last 10 years only a few operational methods have been proposed to map or monitor surface water at continental or global scale, and each of them show limitations. The objective of this study is to develop and demonstrate the adequacy of a generic multi-temporal and multi-spectral image analysis method to detect water surfaces automatically, and to monitor them in near-real-time. The proposed approach, based on a transformation of the RGB color space into HSV, provides dynamic information at the continental scale. The validation of the algorithm showed very few omission errors and no commission errors. It demonstrates the ability of the proposed algorithm to perform as effectively as human interpretation of the images. The validation of the permanent water surface product with an independent dataset derived from high resolution imagery, showed an accuracy of 91.5% and few commission errors. Potential applications of the proposed method have been identified and discussed. The methodology that has been developed 27 is generic: it can be applied to sensors with similar bands with good reliability, and minimal effort. Moreover, this experiment at continental scale showed that the methodology is efficient for a large range of environmental conditions. Additional preliminary tests over other continents indicate that the proposed methodology could also be applied at the global scale without too many difficulties