TY - GEN
T1 - Modified embedding for multi-regime detection in nonstationary streaming data
AU - Kriminger, Evan
AU - Príncipe, José C.
AU - Lakshminarayan, Choudur
PY - 2011
Y1 - 2011
N2 - Many practical data streams are typically composed of several states known as regimes. In this paper, we invoke phase space reconstruction methods from non-linear time series and dynamical systems for regime detection. But the data collected from sensors is normally noisy, does not have constant amplitude and is sometimes plagued by shifts in the mean. All these aspects make modeling even more difficult. We propose a representation of the time series in the phase space with a modified embedding, which is invariant to translation and scale. The features we use for regime detection are based on comparing trajectory segments in the modified embedding space with cross-correntropy, which is a generalized correlation function. We apply our algorithm to non-linear oscillations, and compare its performance with the standard time delay embedding.
AB - Many practical data streams are typically composed of several states known as regimes. In this paper, we invoke phase space reconstruction methods from non-linear time series and dynamical systems for regime detection. But the data collected from sensors is normally noisy, does not have constant amplitude and is sometimes plagued by shifts in the mean. All these aspects make modeling even more difficult. We propose a representation of the time series in the phase space with a modified embedding, which is invariant to translation and scale. The features we use for regime detection are based on comparing trajectory segments in the modified embedding space with cross-correntropy, which is a generalized correlation function. We apply our algorithm to non-linear oscillations, and compare its performance with the standard time delay embedding.
KW - Real time detection
KW - correntropy
KW - symbolic dynamics
KW - time series embedding
UR - http://www.scopus.com/inward/record.url?scp=80051639930&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=80051639930&partnerID=8YFLogxK
U2 - 10.1109/ICASSP.2011.5946931
DO - 10.1109/ICASSP.2011.5946931
M3 - Conference contribution
AN - SCOPUS:80051639930
SN - 9781457705397
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 2256
EP - 2259
BT - 2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings
T2 - 36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011
Y2 - 22 May 2011 through 27 May 2011
ER -