Learning the Number of Autoregressive Mixtures in Time Series Using the Gap Statistics

Abstract: Using a proper model to characterize a time series is crucial in making accurate predictions. In this work we use time-varying autoregressive process (TVAR) to describe non-stationary time series and model it as a mixture of multiple stable autoregressive (AR) processes. We introduce a new model selection technique based on Gap statistics to learn the appropriate number of AR filters needed to model a time series. We define a new distance measure between stable AR filters and draw a reference curve that is used to measure how much adding a new AR filter improves the performance of the model, and then choose the number of AR filters that has the maximum gap with the reference curve. To that end, we propose a new method in order to generate uniform random stable AR filters in root domain. Numerical results are provided demonstrating the performance of the proposed approach.