A new algorithm for time series prediction by temporal fuzzy clustering

Shai Policker, Amir B. Geva

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

We present a new algorithm for time series prediction using temporal fuzzy clustering. The algorithm is based on the framework of temporal clustering that was applied successfully to analyze, segment and recognize patterns of non-stationary signals in applications such as speech recognition and biomedical signal analysis. We combine fuzzy clustering in the observation space and cluster validation in the time axis in order to generate a prediction according to the online estimation of a time varying multivariate mixture distribution function that underlies the series elements. The resulting temporal behavior of the membership matrices can also be used to extract a prediction on the future probability distribution function (PDF) of the time series. The algorithm is more feasible than common methods such as hidden markov models (HMM) in predicting non-stationary signals with a slow drift in their PDF and is also more efficient from a computation standpoint.

Original languageEnglish
Pages (from-to)728-731
Number of pages4
JournalProceedings - International Conference on Pattern Recognition
Volume15
Issue number2
StatePublished - 1 Dec 2000

Fingerprint

Dive into the research topics of 'A new algorithm for time series prediction by temporal fuzzy clustering'. Together they form a unique fingerprint.

Cite this