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Title: Learning short multivariate time series models through evolutionary and sparse matrix computation
Authors: Swift, S
Kok, J
Liu, X
Keywords: Glaucoma;Natural computation;Short multivariate time series;Sparse matrices;Short-term;Forecasting
Issue Date: 2005
Citation: Natural Computing. 5(4): 387-426
Abstract: Multivariate time series (MTS) data are widely available in different fields including medicine, finance, bioinformatics, science and engineering. Modelling MTS data accurately is important for many decision making activities. One area that has been largely overlooked so far is the particular type of time series where the data set consists of a large number of variables but with a small number of observations. In this paper we describe the development of a novel computational method based on Natural Computation and sparse matrices that bypasses the size restrictions of traditional statistical MTS methods, makes no distribution assumptions, and also locates the associated parameters. Extensive results are presented, where the proposed method is compared with both traditional statistical and heuristic search techniques and evaluated on a number of criteria. The results have implications for a wide range of applications involving the learning of short MTS models.
ISSN: 1572-9796
Appears in Collections:Computer Science
Dept of Computer Science Research Papers

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