文章基本信息

标题：Granger Causality Based Hierarchical Time Series Clustering for State Estimation ⁎
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作者：Sin Yong Tan ; Homagni Saha ; Margarite Jacoby 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2020
卷号：53
期号：2
页码：524-529
DOI：10.1016/j.ifacol.2020.12.324
语种：English
出版社：Elsevier
摘要：AbstractClustering is an unsupervised learning technique that is useful when working with a large volume of unlabeled data. Complex dynamical systems in real life often entail data streaming from a large number of sources. Although it is desirable to use all source variables to form accurate state estimates, it is often impractical due to large computational power requirements, and sufficiently robust algorithms to handle these cases are not common. We propose a hierarchical time series clustering technique based on symbolic dynamic filtering and Granger causality, which serves as a dimensionality reduction and noise-rejection tool. Our process forms a hierarchy of variables in the multivariate time series with clustering of relevant variables at each level, thus separating out noise and less relevant variables. A new distance metric based on Granger causality is proposed and used for the time series clustering, as well as validated on empirical data sets. Experimental results from occupancy detection and building temperature estimation tasks shows fidelity to the empirical data sets while maintaining state-prediction accuracy with substantially reduced data dimensionality.
关键词：KeywordsTime series clusteringtime series state estimationoccupancy detectiondimensionality reduction