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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/3237

Title: Learning dynamic Bayesian networks from multivariate time series with changing dependencies
Authors: Tucker, A
Liu, X
Publication Date: 2003
Publisher: Springer
Citation: Cryptographic Hardware and Embedded Systems - CHES Sep 2003
Abstract: Many examples exist of multivariate time series where dependencies between variables change over time. If these changing dependencies are not taken into account, any model that is learnt from the data will average over the different dependency structures. Paradigms that try to explain underlying processes and observed events in multivariate time series must explicitly model these changes in order to allow non-experts to analyse and understand such data. In this paper we have developed a method for generating explanations in multivariate time series that takes into account changing dependency structure. We make use of a dynamic Bayesian network model with hidden nodes. We introduce a representation and search technique for learning such models from data and test it on synthetic time series and real-world data from an oil refinery, both of which contain changing underlying structure. We compare our method to an existing EM-based method for learning structure. Results are very promising for our method and we include sample explanations, generated from models learnt from the refinery dataset.
URI: http://www.springerlink.com/content/41x05dqg1r5aqy6c/
http://bura.brunel.ac.uk/handle/2438/3237
ISBN: 978-3-540-40833-8
ISSN: 1611-3349
Appears in Collections:Information Systems and Computing
School of Information Systems, Computing and Mathematics Research Papers

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