Incomplete time series prediction using max-margin classification of data with absent features

DOI10.1155/2010/513810MaRDI QIDQ1958847zbMATH OpenOpenAlexWikidataFDO

Authors Shang Zhaowei, Zhang Lingfeng, Ma Shangjun, Fang Bin, Zhang Taiping

Publication date 30 September 2010

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/232380

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Review text

Summary: This paper discusses the prediction of time series with missing data. A novel forecast model is proposed based on max-margin classification of data with absent features. The issue of modeling incomplete time series is considered as classification of data with absent features. We employ the optimal hyperplane of classification to predict the future values. Compared with traditional predicting processes of incomplete time series, our method solves the problem directly rather than fills the missing data in advance. In addition, we introduce an imputation method to estimate the missing data in the history series. Experimental results validate the effectiveness of our model in both prediction and imputation.

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Cited in

(4)

• Multi-step prediction of time series with random missing data
• A multiplicative noise removal approach based on partial differential equation model
• A novel approach for missing data prediction in coevolving time series
• Nonlinear time series: computations and applications

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Uses Software

• astsa

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