Robust Functional Supervised Classification for Time Series

Abstract

We propose using the integrated periodogram to classify time series. The method assigns a new time series to the group that minimizes the distance between the series integrated periodogram and the group mean of integrated periodograms. Local computation of these periodograms allows the application of this approach to nonstationary time series. Since the integrated periodograms are curves, we apply functional data depth-based techniques to make the classification robust, which is a clear advantage over other competitive procedures. The method provides small error rates for both simulated and real data. It improves existing approaches and presents good computational behavior.

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Correspondence to David Casado.

Additional information

All authors supported in part by CICYT (Spain) grants SEJ2007-64500, and MICINN (Spain) grant ECO2008-05080. Research partially supported by grant ECO2011-25706 of the Spanish Ministry of Science and Innovation. A.M. Alonso supported in part by MICINN (Spain) grant ECO2012-38442.

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Alonso, A.M., Casado, D., López-Pintado, S. et al. Robust Functional Supervised Classification for Time Series. J Classif 31, 325–350 (2014). https://doi.org/10.1007/s00357-014-9163-x

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Keywords

  • Time series
  • Supervised classification
  • Integrated periodogram
  • Functional data depth