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Seasonal Inhomogeneous Nonconsecutive Arrival Process Search and Evaluation

Published in:
25th International Conference on Pattern Recognition [submitted]

Summary

Time series often exhibit seasonal patterns, and identification of these patterns is essential to understanding thedata and predicting future behavior. Most methods train onlarge datasets and can fail to predict far past the training data. This limitation becomes more pronounced when data is sparse. This paper presents a method to fit a model to seasonal time series data that maintains predictive power when data is limited. This method, called SINAPSE, combines statistical model fitting with an information criteria to search for disjoint, andpossibly nonconsecutive, regimes underlying the data, allowing for a sparse representation resistant to overfitting.
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Summary

Time series often exhibit seasonal patterns, and identification of these patterns is essential to understanding thedata and predicting future behavior. Most methods train onlarge datasets and can fail to predict far past the training data. This limitation becomes more pronounced when data is sparse. This paper presents a method to...

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Seasonal Inhomogeneous Nonconsecutive Arrival Process Search and Evaluation

Published in:
International Conference on Artificial Intelligence and Statistics, 26-28 August 2020 [submitted]

Summary

Seasonal data may display different distributions throughout the period of seasonality. We fit this type of model by determiningthe appropriate change points of the distribution and fitting parameters to each interval. This offers the added benefit of searching for disjoint regimes, which may denote the samedistribution occurring nonconsecutively. Our algorithm outperforms SARIMA for prediction.
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Summary

Seasonal data may display different distributions throughout the period of seasonality. We fit this type of model by determiningthe appropriate change points of the distribution and fitting parameters to each interval. This offers the added benefit of searching for disjoint regimes, which may denote the samedistribution occurring nonconsecutively. Our algorithm...

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