Machine Learning Classification of Multifractional Brownian Motion Realizations

Kirichenko, L.; Radivilova, T.; Bulakh, V.

Публікація:
Machine Learning Classification of Multifractional Brownian Motion Realizations

dc.contributor.author	Kirichenko, L.
dc.contributor.author	Radivilova, T.
dc.contributor.author	Bulakh, V.
dc.date.accessioned	2020-05-25T20:40:02Z
dc.date.available	2020-05-25T20:40:02Z
dc.date.issued	2020
dc.description.abstract	A comparative analysis of machine learning classification of stochastic time series based on their multifractal properties is proposed. Multifractal time series were obtained by generating realizations of fractional Brownian motion in multifractal time. The features for classification were statistical, fractal and recurrent characteristics calculated for each time series. The various machine learning classifiers were chosen for classification: bagging with classification and regression decision trees, random forest with classification and regression decision trees, fully connected perceptron and recurrent neural network. Both cumulative time series of multifractal Brownian motion and time series increments were carried out. It was shown that in general, classification accuracy is higher when using series of increments. When classifying realizations of multifractional Brownian motion, bagging and recurrent neural network showed the best accuracy.	uk_UA
dc.identifier.citation	Kirichenko L., Radivilova T., Bulakh V. Machine Learning Classification of Multifractional Brownian Motion Realizations. International Workshop on Computer Modeling and Intelligent Systems (CMIS), Zaporizhzhia, ZNTU, P. 980-989.	uk_UA
dc.identifier.uri	http://openarchive.nure.ua/handle/document/11845
dc.language.iso	en	uk_UA
dc.publisher	ХНУРЕ	uk_UA
dc.subject	multifractal	uk_UA
dc.subject	multifractional Brownian motion	uk_UA
dc.subject	classification of time series	uk_UA
dc.subject	features	uk_UA
dc.subject	random forest	uk_UA
dc.subject	bagging	uk_UA
dc.subject	recurrent neural network	uk_UA
dc.title	Machine Learning Classification of Multifractional Brownian Motion Realizations	uk_UA
dc.type	Article	uk_UA
dspace.entity.type	Publication