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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Songlin Zhao Principe, J.C. |
| Copyright Year | 2011 |
| Description | Author affiliation: Department of Electrical and Computer Engineering, The University of Florida, Gainesville, USA (Songlin Zhao; Principe, J.C.) |
| 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. |
| Starting Page | 1281 |
| Ending Page | 1284 |
| File Size | 294299 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424496358 |
| ISSN | 21614407 |
| e-ISBN | 9781424496372 |
| DOI | 10.1109/IJCNN.2011.6033371 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2011-07-31 |
| Publisher Place | USA |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Kernel Time series analysis Training Prediction algorithms Data models Computational modeling Gaussian processes |
| Content Type | Text |
| Resource Type | Article |
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