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Event series prediction via non-homogeneous Poisson process modelling

Goulding, James; Preston, Simon P.; Smith, Gavin

Authors

Simon P. Preston

GAVIN SMITH GAVIN.SMITH@NOTTINGHAM.AC.UK
Assistant Professor in Business Analytic



Abstract

Data streams whose events occur at random arrival times rather than at the regular, tick-tock intervals of traditional time series are increasingly prevalent. Event series are continuous, irregular and often highly sparse, differing greatly in nature to the regularly sampled time series traditionally the concern of hard sciences. As mass sets of such data have become more common, so interest in predicting future events in them has grown. Yet repurposing of traditional forecasting approaches has proven ineffective, in part due to issues such as sparsity, but often due to inapplicable underpinning assumptions such as stationarity and ergodicity.
In this paper we derive a principled new approach to forecasting event series that avoids such assumptions, based upon: 1. the processing of event series datasets in order to produce a parameterized mixture model of non-homogeneous Poisson processes; and 2. application of a technique called parallel forecasting that uses these processes’ rate functions to directly generate accurate temporal predictions for new query realizations. This approach uses forerunners of a stochastic process to shed light on the distribution of future events, not for themselves, but for realizations that subsequently follow in their footsteps.

Publication Date Dec 13, 2016
Peer Reviewed Peer Reviewed
Book Title 2016 IEEE 16th International Conference on Data Mining (ICDM)
APA6 Citation Goulding, J., Preston, S. P., & Smith, G. (2016). Event series prediction via non-homogeneous Poisson process modelling. In 2016 IEEE 16th International Conference on Data Mining (ICDM). https://doi.org/10.1109/ICDM.2016.0027
DOI https://doi.org/10.1109/ICDM.2016.0027
Publisher URL https://ieeexplore.ieee.org/document/7837840/
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf
Additional Information ©2016 IEEE. Personal use of this material is permitted. permission from IEEE must be obtained for all other uses, in any current, or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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