DocumentCode :
3495360
Title :
A nonparametric information theoretic approach for change detection in time series
Author :
Zhao, Songlin ; Príncipe, José C.
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Florida, Gainesville, FL, USA
fYear :
2011
fDate :
July 31 2011-Aug. 5 2011
Firstpage :
1281
Lastpage :
1284
Abstract :
This paper presents an online nonparametric methodology based on the Kernel Least Mean Square (KLMS) algorithm and the surprise criterion, which is based on an information theoretic framework. Surprise quantifies the amount of information a datum contains given a known system state, and can be estimated online using Gaussian Process Theory. Based on this concept, we use the KLMS algorithm together with surprise criterion to detect regime change in nonstationary time series. We test the methodology on a synthesized chaotic time series to illustrate this criterion. The results show that surprise criterion is better than the conventional segmentation based on the error criterion.
Keywords :
Gaussian processes; information theory; least mean squares methods; time series; Gaussian process theory; KLMS algorithm; change detection; chaotic time series; error criterion; kernel least mean square algorithm; nonparametric information theoretic approach; nonstationary time series; online nonparametric methodology; surprise criterion; Computational modeling; Data models; Gaussian processes; Kernel; Prediction algorithms; Time series analysis; Training;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Neural Networks (IJCNN), The 2011 International Joint Conference on
Conference_Location :
San Jose, CA
ISSN :
2161-4393
Print_ISBN :
978-1-4244-9635-8
Type :
conf
DOI :
10.1109/IJCNN.2011.6033371
Filename :
6033371
Link To Document :
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