Markov Modeling of Time-Series Data using Symbolic Analysis
This work addresses the challenge of accurately representing time-series data for statistical learning applications, though it is incremental as it reviews and applies existing methods.
The paper reviews techniques for discretizing continuous time-series data and estimating the temporal memory of the resulting symbolic sequences to improve Markov modeling, applying these methods to analyze thermoacoustic instability in jet-turbine engines.
Markov models are often used to capture the temporal patterns of sequential data for statistical learning applications. While the Hidden Markov modeling-based learning mechanisms are well studied in literature, we analyze a symbolic-dynamics inspired approach. Under this umbrella, Markov modeling of time-series data consists of two major steps -- discretization of continuous attributes followed by estimating the size of temporal memory of the discretized sequence. These two steps are critical for the accurate and concise representation of time-series data in the discrete space. Discretization governs the information content of the resultant discretized sequence. On the other hand, memory estimation of the symbolic sequence helps to extract the predictive patterns in the discretized data. Clearly, the effectiveness of signal representation as a discrete Markov process depends on both these steps. In this paper, we will review the different techniques for discretization and memory estimation for discrete stochastic processes. In particular, we will focus on the individual problems of discretization and order estimation for discrete stochastic process. We will present some results from literature on partitioning from dynamical systems theory and order estimation using concepts of information theory and statistical learning. The paper also presents some related problem formulations which will be useful for machine learning and statistical learning application using the symbolic framework of data analysis. We present some results of statistical analysis of a complex thermoacoustic instability phenomenon during lean-premixed combustion in jet-turbine engines using the proposed Markov modeling method.