Discrimination and classification of nonstationary time series using the SLEX model

Hsiao Yun Huang, Hernando Ombao, David S. Stoffer

Research output: Contribution to journalArticlepeer-review

51 Scopus citations

Abstract

Statistical discrimination for nonstationary random processes is important in many applications. Our goal was to develop a discriminant scheme that can extract local features of the time series, is consistent, and is computationally efficient. Here, we propose a discriminant scheme based on the SLEX (smooth localized complex exponential) library. The SLEX library forms a collection of Fourier-type bases that are simultaneously orthogonal and localized in both time and frequency domains. Thus, the SLEX library has the ability to extract local spectral features of the time series. The first step in our procedure, which is the feature extraction step based on work by Saito, is to find a basis from the SLEX library that can best illuminate the difference between two or more classes of time series. In the next step, we construct a discriminant criterion that is related to the Kullback-Leibler divergence between the SLEX spectra of the different classes. The discrimination criterion is based on estimates of the SLEX spectra that are computed using the SLEX basis selected in the feature extraction step. We show that the discrimination method is consistent and demonstrate via finite sample simulation studies that our proposed method performs well. Finally, we apply our method to a seismic waves dataset with the primary purpose of classifying the origin of an unknown seismic recording as either an earthquake or an explosion.

Original languageEnglish (US)
Pages (from-to)763-774
Number of pages12
JournalJournal of the American Statistical Association
Volume99
Issue number467
DOIs
StatePublished - Sep 1 2004

Keywords

  • Kullback-Leibler divergence
  • Likelihood ratio
  • Nonstationary random process
  • SLEX library
  • Seismic time series

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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