凸起的混合物分布:格兰杰因果关系对分类时间序列.
Alex Tank1, Xiudi Li2, Emily B Fox3
1The Voleon Group, Berkeley, CA.
概括
我们开发了一个凸起的框架,用于从分类时间序列数据中学习格兰杰因果关系网络,使用混合过渡分布 (MTD) 模型. 这种方法克服了传统的MTD限制,使复杂,高维数据集的分析成为可能.
科学领域:
- 统计 统计 统计 统计
- 机器学习 机器学习
- 时间序列分析时间序列分析
背景情况:
- 混合过渡分布 (MTD) 模型用于分类时间序列,但存在非凸度和局部最佳值问题.
- 现有的方法在高维数据和可识别性问题上扎.
研究的目的:
- 介绍MTD的新型凸式配方,以实现强大的格兰杰因果关系网络推断.
- 为了将拟议的形MTD与多输出物流自回归模型 (mLTD) 进行对比,用于分类时间序列.
- 在高维设置中为凸MTD建立理论保证.
主要方法:
- 重构MTD推理作为一个凸起的优化问题.
- 为凸的MTD配方开发高效的优化算法.
- 制定和比较一个多输出物流自回归模型 (mLTD) 作为基线.
- 建立MTD和mLTD的识别条件和一致性.
主要成果:
- 凸的MTD配方成功地解决了传统的局限性,允许对高维数据进行应用.
- 在模拟和真实数据上的比较实验证明了凸MTD的有效性.
- 确定了MTD和mLTD的识别条件,并证明了高维的凸形MTD的一致性.
结论:
- 拟议的凸MTD框架为Granger因果关系网络推断在多变量分类时间序列中取得了重大进展.
- 这项工作为MTD模型提供了现代,规范化的推理技术.
- 这项研究为分类时间序列数据的网络推理方法提供了有价值的比较.
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