Similarity-based approaches represent a promising direction for time series analysis. However, many such methods rely on parameter tuning, and some have shortcomings if the time series are multivariate (MTS), due to dependencies between attributes, or the time series contain missing data. In this paper, we address these challenges within the powerful context of kernel methods by proposing the robust (TCK). The approach taken leverages the missing data handling properties of Gaussian mixture models (GMM) augmented with informative prior distributions. An ensemble learning approach is exploited to ensure robustness to parameters by combining the clustering results of many GMM to form the final kernel. We evaluate the TCK on synthetic and real data and compare to other state-of-the-art techniques. The experimental results demonstrate that the TCK is robust to parameter choices, provides competitive results for MTS without missing data and outstanding results for missing data.
In several cases, the assumption of a single parametric model underlying all the data may be too strong. Additionally, finding the most suitable parametric model is a crucial and often difficult task, which must be repeated every time a new dataset is processed. This issue is addressed by the autoregressive kernel @cite_27 , which evaluates the similarity of two time series on the corresponding likelihood profiles of a vector autoregressive model of a given order, across all possible parameter settings, controlled by a prior. The kernel is then evaluated as the dot product in the parameter space of such profiles, used as sequence representations. The reservoir based kernels @cite_80 , map the time series into a high dimensional, dynamical feature space, where a linear readout is trained to discriminate each signal. These kernels fit reservoir models sharing the same fixed reservoir topology to all time series. Since the reservoir provides a rich pool of dynamical features, it is considered to be generic'' and, contrarily to kernels based on a single parametric model, it is able to represent a wide variety of dynamics for different datasets.
@cite_80 @cite_27
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We propose in this work a new family of kernels for variable-length time series. Our work builds upon the vector autoregressive (VAR) model for multivariate stochastic processes: given a multivariate time series x, we consider the likelihood function p_ (x) of different parameters in the VAR model as features to describe x. To compare two time series x and x', we form the product of their features p_ (x) p_ (x') which is integrated out w.r.t using a matrix normal-inverse Wishart prior. Among other properties, this kernel can be easily computed when the dimension d of the time series is much larger than the lengths of the considered time series x and x'. It can also be generalized to time series taking values in arbitrary state spaces, as long as the state space itself is endowed with a kernel . In that case, the kernel between x and x' is a a function of the Gram matrices produced by on observations and subsequences of observations enumerated in x and x'. We describe a computationally efficient implementation of this generalization that uses low-rank matrix factorization techniques. These kernels are compared to other known kernels using a set of benchmark classification tasks carried out with support vector machines. Reservoir computing (RC) refers to a new class of state-space models with a fixed state transition structure (the reservoir) and an adaptable readout form the state space. The reservoir is supposed to be sufficiently complex so as to capture a large number of features of the input stream that can be exploited by the reservoir-to-output readout mapping. The field of RC has been growing rapidly with many successful applications. However, RC has been criticized for not being principled enough. Reservoir construction is largely driven by a series of randomized model-building stages, with both researchers and practitioners having to rely on a series of trials and errors. To initialize a systematic study of the field, we concentrate on one of the most popular classes of RC methods, namely echo state network, and ask: What is the minimal complexity of reservoir construction for obtaining competitive models and what is the memory capacity (MC) of such simplified reservoirs? On a number of widely used time series benchmarks of different origin and characteristics, as well as by conducting a theoretical analysis we show that a simple deterministically constructed cycle reservoir is comparable to the standard echo state network methodology. The (short-term) of linear cyclic reservoirs can be made arbitrarily close to the proved optimal value. Echo state network is a novel kind of recurrent neural networks, with a trainable linear readout layer and a large fixed recurrent connected hidden layer, which can be used to map the rich dynamics of complex real-world data sets. It has been extensively studied in time series prediction. However, there may be an ill-posed problem caused by the number of real-world training samples less than the size of the hidden layer. In this brief, a Laplacian echo state network (LAESN), is proposed to overcome the ill-posed problem and obtain low-dimensional output weights. First, an echo state network is used to map the multivariate time series into a large reservoir. Then, assuming that an unknown underlying manifold is inside the reservoir, we employ the Laplacian eigenmaps to estimate the manifold by constructing an adjacency graph associated with the reservoir states. Finally, the output weights are calculated by the low-dimensional manifold. In addition, some criteria of transient stability, local controllability, and local observability are given. Experimental results based on two real-world data sets substantiate the effectiveness and characteristics of the proposed LAESN model. The temporal structure of music is essential for the cognitive processes related to the emotions expressed in music. However, such temporal information is often disregarded in typical Music Information Retrieval modeling tasks of predicting higher-level cognitive or semantic aspects of music such as emotions, genre, and similarity. This paper addresses the specific hypothesis whether temporal information is essential for predicting expressed emotions in music, as a prototypical example of a cognitive aspect of music. We propose to test this hypothesis using a novel processing pipeline: 1) Extracting audio features for each track resulting in a multivariate "feature time series". 2) Using generative models to represent these time series (acquiring a complete track representation). Specifically, we explore the Gaussian Mixture model, Vector Quantization, Autoregressive model, Markov and Hidden Markov models. 3) Utilizing the generative models in a discriminative setting by selecting the Probability Product Kernel as the natural kernel for all considered track representations. We evaluate the representations using a kernel based model specifically extended to support the robust two-alternative forced choice self-report paradigm, used for eliciting expressed emotions in music. The methods are evaluated using two data sets and show increased predictive performance using temporal information, thus supporting the overall hypothesis.