Optimal Bayesian Classification With Vector Autoregressive Data Dependency

Amin Zollanvari, Edward R. Dougherty

Research output: Contribution to journalArticle

Abstract

In classification theory, it is generally assumed that the data are independent and identically distributed. However, in many practical applications, we face a set of observations that are collected sequentially with a dependence structure among samples. The primary focus of this investigation is to construct the optimal Bayesian classifier (OBC) when the training observations are serially dependent. To model the effect of dependency, we assume the training observations are generated from tVAR(p), which is a multidimensional vector autoregressive process of order p. At the same time, we assume there exists uncertainty about parameters governing the VAR(p) model. To model this uncertainty, we assume that model parameters (coefficient matrices) are random variables with a prior distribution, and find the resulting OBC under the assumption of known covariance matrices of white-noise processes. We employ simulations using both synthetic and real data to demonstrate the efficacy of the constructed OBC.

Original languageEnglish
Article number8693865
Pages (from-to)3073-3086
Number of pages14
JournalIEEE Transactions on Signal Processing
Volume67
Issue number12
DOIs
Publication statusPublished - Jun 15 2019

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Classifiers
White noise
Covariance matrix
Random variables
Uncertainty

Keywords

  • Optimal Bayesian classification
  • serially dependent training data
  • vector autoregressive processes

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering

Cite this

Optimal Bayesian Classification With Vector Autoregressive Data Dependency. / Zollanvari, Amin; Dougherty, Edward R.

In: IEEE Transactions on Signal Processing, Vol. 67, No. 12, 8693865, 15.06.2019, p. 3073-3086.

Research output: Contribution to journalArticle

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