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Time Series Classification by Class-Specific Mahalanobis Distance Measures [r-libre/235]

Prekopcsák, Zoltán, & Lemire, Daniel (2012). Time Series Classification by Class-Specific Mahalanobis Distance Measures. Advances in Data Analysis and Classification, 6 (3). https://doi.org/10.1007/s11634-012-0110-6

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[img]  PDF - 1010.1526v6.pdf
Content : Submitted Version
 
Item Type: Journal Articles
Refereed: Yes
Status: Published
Abstract: To classify time series by nearest neighbors, we need to specify or learn one or several distance measures. We consider variations of the Mahalanobis distance measures which rely on the inverse covariance matrix of the data. Unfortunately --- for time series data --- the covariance matrix has often low rank. To alleviate this problem we can either use a pseudoinverse, covariance shrinking or limit the matrix to its diagonal. We review these alternatives and benchmark them against competitive methods such as the related Large Margin Nearest Neighbor Classification (LMNN) and the Dynamic Time Warping (DTW) distance. As we expected, we find that the DTW is superior, but the Mahalanobis distance measures are one to two orders of magnitude faster. To get best results with Mahalanobis distance measures, we recommend learning one distance measure per class using either covariance shrinking or the diagonal approach.
Official URL: http://link.springer.com/article/10.1007%2Fs11634-...
Depositor: Lemire, Daniel
Owner / Manager: Daniel Lemire
Deposited: 18 Sep 2014 18:20
Last Modified: 16 Jul 2015 00:46

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