PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Kernel Methods for Detecting the Direction of Time Series
J. Peters, D. Janzing, A. Gretton and B. Schölkopf
In: 32nd Annual Conference of the German Classification Society (GfKl 2008), 16-18 July 2008, Hamburg, Germany.

Abstract

We propose two kernel based methods for detecting the time direction in empirical time series. First we apply a Support Vector Machine on the finitedimensional distributions of the time series (classification method) by embedding these distributions into a Reproducing Kernel Hilbert Space. For the ARMA method we fit the observed data with an autoregressive moving average process and test whether the regression residuals are statistically independent of the past values. Whenever the dependence in one direction is significantly weaker than in the other we infer the former to be the true one. Both approaches were able to detect the direction of the true generating model for simulated data sets. We also applied our tests to a large number of real world time series. The ARMA method made a decision for a significant fraction of them, in which it was mostly correct, while the classification method did not perform as well, but still exceeded chance level.

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Learning/Statistics & Optimisation
Brain Computer Interfaces
Theory & Algorithms
ID Code:4349
Deposited By:Bernhard Schölkopf
Deposited On:13 March 2009