A Run Length Transformation for Discriminating Between Auto Regressive Time Series

@article{Bagnall2014ARL,
  title={A Run Length Transformation for Discriminating Between Auto Regressive Time Series},
  author={Anthony J. Bagnall and Gareth J. Janacek},
  journal={Journal of Classification},
  year={2014},
  volume={31},
  pages={154-178}
}
We describe a simple time series transformation to detect differences in series that can be accurately modelled as stationary autoregressive (AR) processes. The transformation involves forming the histogram of above and below the mean run lengths. The run length (RL) transformation has the benefits of being very fast, compact and updatable for new data in constant time. Furthermore, it can be generated directly from data that has already been highly compressed. We first establish the… CONTINUE READING

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