Публікація:
Machine Learning Classification of Multifractional Brownian Motion Realizations

dc.contributor.authorKirichenko, L.
dc.contributor.authorRadivilova, T.
dc.contributor.authorBulakh, V.
dc.date.accessioned2020-05-25T20:40:02Z
dc.date.available2020-05-25T20:40:02Z
dc.date.issued2020
dc.description.abstractA 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.citationKirichenko 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.urihttp://openarchive.nure.ua/handle/document/11845
dc.language.isoenuk_UA
dc.publisherХНУРЕuk_UA
dc.subjectmultifractaluk_UA
dc.subjectmultifractional Brownian motionuk_UA
dc.subjectclassification of time seriesuk_UA
dc.subjectfeaturesuk_UA
dc.subjectrandom forestuk_UA
dc.subjectbagginguk_UA
dc.subjectrecurrent neural networkuk_UA
dc.titleMachine Learning Classification of Multifractional Brownian Motion Realizationsuk_UA
dc.typeArticleuk_UA
dspace.entity.typePublication

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