基于改进符号化度量方法的机场噪声异常检测

机场噪声中的异常情况拥有很大价值,利用它能够及时完善飞机和机场的设备。结合机场噪声数据的特点,对上述问题进行研究并提出一种基于改进的符号化聚集近似(Symbolic Aggregate Approximation,SAX)相似性度量的单监测点的时间序列异常检测方法。其运用相似性度量方法计算出度量结果,再运用k近邻异常检测方法进行异常发现,最后发现异常时间段。该方法在理论验证可行性之后在某机场的实测数据中进行应用,取得了良好的效果。     

MULTIVARIATE WALSH-FOURIER ANALYSIS

Abstract. In this paper we establish a statistical methodology for the spectral analysis of stationary multivariate time series via the Walsh-Fourier transform. Theoretical results pertaining to the definition and estimation of the Walsh-Fourier spectral matrix and functions of that matrix including cross-spectra, coherency and phase are given. An example of the statistical techniques developed in this paper is given; in particular, the methodologies are applied to neonatal sleep data collected from a study of the effect of maternal substance use during pregnancy.     

多粒度时序特征在离网预测中的应用

电信运营商为了发现可能离网的客户,针对不同的场景研究开发了多种离网预测模型。目前的离网预测模型首先选择一种时间粒度抽取特征,之后使用机器学习算法对抽取的数据建模。这类方法只考虑了模型对分类性能的影响,没有充分考虑数据的作用。针对上述问题,提出一种使用多种时间粒度抽取特征的方法,并尝试在模型训练的不同阶段对不同粒度的特征进行融合。实验结果表明,使用多种粒度抽取特征训练出来的模型性能会明显优于使用单一粒度抽取特征的模型。     

有向动态网络中基于模体演化的链路预测方法

以往传统的链路预测方法大多数针对无向网络,而实际上大多数社交网络是有向的,并且没有考虑网络中同一节点对之间的重复边以及微观演化信息,因此不能较好地解决有向动态网络中的链路预测问题。针对有向网络,将节点对之间的重复边信息转换为该节点对之间连边的权值;接着采用了基于三元组模体的演化模型,对滑动窗口中相邻时间片的模体转换概率进行统计后,采用指数加权滑动平均法对其进行时序分析得到不同模体转换概率的预测矩阵,进而使用该矩阵对网络中的链边进行预测。这不仅充分利用了网络微观演化信息,而且解决了动态网络中重复边的问题。最后对实验结果进行分析发现,在高全局聚类系数高平均度的网络中AUC相比Triad Transition Matrix方法提高了近0.01,而相比Common Neighbor方法提高更多。因此,所提方法能够较好地应用网络微观演化信息进行链路预测。     

一种结合主题模型的推荐算法

针对传统协同过滤推荐算法存在的冷启动、数据稀疏以及相似度度量的准确性问题,基于LDA主题模型对文本隐式主题挖掘的有效性和KL散度在主题分布相似性度量的准确性,提出了结合LDA主题模型的矩阵分解推荐算法。首先,利用改进的LDA算法输出项目-主题分布,并用困惑度作为主题数设置的修正函数;然后分别基于余弦相似度和KL散度计算得到项目相似度矩阵,将得到的相似度矩阵结合原评分训练集输出预评分,再将预评分填充到训练集;最后将训练集输入ALS矩阵分解算法得到推荐结果。通过MovieLens数据集的实验结果表明,该算法在不同隐式参数设定下均能得到比ALS推荐算法以及更小的预测误差,并且最优预测误差小于传统推荐算法。该实验说明了通过集成LDA主题模型的ALS算法效果要优于其他推荐算法。     

Bayesian estimation of Dirichlet mixture model with variational inference

In statistical modeling, parameter estimation is an essential and challengeable task. Estimation of the parameters in the Dirichlet mixture model (DMM) is analytically intractable, due to the integral expressions of the gamma function and its corresponding derivatives. We introduce a Bayesian estimation strategy to estimate the posterior distribution of the parameters in DMM. By assuming the gamma distribution as the prior to each parameter, we approximate both the prior and the posterior distribution of the parameters with a product of several mutually independent gamma distributions. The extended factorized approximation method is applied to introduce a single lower-bound to the variational objective function and an analytically tractable estimation solution is derived. Moreover, there is only one function that is maximized during iterations and, therefore, the convergence of the proposed algorithm is theoretically guaranteed. With synthesized data, the proposed method shows the advantages over the EM-based method and the previously proposed Bayesian estimation method. With two important multimedia signal processing applications, the good performance of the proposed Bayesian estimation method is demonstrated.     

ON GENERALIZED FRACTIONAL PROCESSES

Abstract. A class of stationary long-memory processes is proposed which is an extension of the fractional autoregressive moving-average (FARMA) model. The FARMA model is limited by the fact that it does not allow data with persistent cyclic (or seasonal) behavior to be considered. Our extension, which includes the FARMA model as a special case, makes use of the properties of the generating function of the Gegenbauer polynomials, and we refer to these models as Gegenbauer autoregressive moving-average (GARMA) models. While the FARMA model has a peak in the spectrum at f = 0, the GARMA process can model long-term periodic behavior for any frequency 0 f 0.5. Properties of the GARMA process are examined and techniques for generation of realizations, model identification and parameter estimation are proposed. The use of the GARMA model is illustrated through simulated examples as well as with classical sunspot data.     

A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS

Abstract. In a number of practical problems where clustering or choosing from a set of dynamic structures is needed, the introduction of a distance between the data is an early step in the application of multivariate statistical methods. In this paper a parametric approach is proposed in order to introduce a well-defined metric on the class of autoregressive integrated moving-average (ARIMA) invertible models as the Euclidean distance between their autoregressive expansions. Two case studies for clustering economic time series and for assessing the consistency of seasonal adjustment procedures are discussed. Finally, some related proposals are surveyed and some suggestions for further research are made.     

一种支持DTW距离的多元时间序列索引结构

现有的索引结构难以有效地支持DTW距离度量下的多元时间序列相似性搜索.首先给出一种将不等长多元时间序列转换为等长一元时间序列的方法,并证明这种转换满足下界距离引理;以此为基础,提出一种多元时间序列的DTW下界距离,并对其性质进行分析;然后,针对给出的下界距离,提出一种支持DTW距离度量的多元时间序列索引结构,对多元时间序列数据库进行有效组织;再给出多元时间序列相似模式搜索算法及流程,并证明该搜索方法具有非漏报性;最后,通过实验对所提方法的有效性进行验证.     

基于复化梯形公式的GM(1,1) 模型背景值的优化

背景值是影响灰色理论建模精度的重要因素之一。根据灰色系统理论建模机理以及数据累加生成具有非齐次灰指数规律,构建动态序列模型;基于积分几何意义的视角,利用函数逼近的思想,结合复化梯形公式,提出一种新的GM(1,1)模型背景值优化方法。算例结果表明,利用优化的背景值计算公式所建立的GM(1,1)模型在预测精度上有显著的提高。