Classification of Multiple Time-Series via Boosting

Much of modern machine learning and statistics research consists of extracting information from high-dimensional patterns. Often times, the large number of features that comprise this high-dimensional pattern are themselves vector valued, corresponding to sampled values in a time-series. Here, we present a classification methodology to accommodate multiple time-series using boosting. This method constructs an additive model by adaptively selecting basis functions consisting of a discriminating feature´s full time-series. We present the necessary modifications to fisher linear discriminant analysis and least-squares, as base learners, to accommodate the weighted data in the proposed boosting procedure. We conclude by presenting the performance of our proposed method against a synthetic stochastic differential equation data set and a real world data set involving prediction of cancer patient susceptibility for a particular chemoradiotherapy.