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Reducing statistical time-series problems to binary classification
Daniil Ryabko · Jeremie Mary

Thu Dec 06 02:00 PM -- 12:00 AM (PST) @ Harrah’s Special Events Center 2nd Floor #None

We show how binary classification methods developed to work on i.i.d. data can be used for solving statistical problems that are seemingly unrelated to classification and concern highly-dependent time series. Specifically, the problems of time-series clustering, homogeneity testing and the three-sample problem are addressed. The algorithms that we construct for solving these problems are based on a new metric between time-series distributions, which can be evaluated using binary classification methods. Universal consistency of the proposed algorithms is proven under most general assumptions. The theoretical results are illustrated with experiments on synthetic and real-world data.

Author Information

Daniil Ryabko (INRIA)
Jeremie Mary (INRIA / Univ. Lille)

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