Artículo
Selection of time instants and intervals with Support Vector Regression for multivariate functional data
Autor/es | Blanquero Bravo, Rafael
Carrizosa Priego, Emilio José Jiménez Cordero, María Asunción Martín Barragán, Belén |
Departamento | Universidad de Sevilla. Departamento de Estadística e Investigación Operativa |
Fecha de publicación | 2020-07-19 |
Fecha de depósito | 2021-04-26 |
Publicado en |
|
Resumen | When continuously monitoring processes over time, data is collected along a whole period, from which
only certain time instants and certain time intervals may play a crucial role in the data analysis. We
develop a method ... When continuously monitoring processes over time, data is collected along a whole period, from which only certain time instants and certain time intervals may play a crucial role in the data analysis. We develop a method that addresses the problem of selecting a finite and small set of short intervals (or instants) able to capture the information needed to predict a response variable from multivariate functional data using Support Vector Regression (SVR). In addition to improving interpretability, storage requirements, and monitoring cost, feature selection can potentially reduce overfitting by mitigating data autocorrelation. We propose a continuous optimization algorithm to fit the SVR parameters and select intervals and instants. Our approach takes advantage of the functional nature of the data by formulating a new bilevel optimization problem that integrates selection of intervals and instants, tuning of some key SVR parameters and fitting the SVR. We illustrate the usefulness of our proposal in some benchmark data sets. |
Cita | Blanquero Bravo, R., Carrizosa Priego, E.J., Jiménez Cordero, M.A. y Martín Barragán, B. (2020). Selection of time instants and intervals with Support Vector Regression for multivariate functional data. Computers & Operations Research, 123, 105050 - 1-105050 - 24. |
Ficheros | Tamaño | Formato | Ver | Descripción |
---|---|---|---|---|
Selection of time instants and ... | 1.726Mb | [PDF] | Ver/ | |