Discriminant analysis of multivariate time series using wavelets

Elizabeth Ann Maharaj

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In analyzing ECG data, the main aim is to differentiate between the signal patterns of those of healthy subjects and those of individuals with specific heart conditions. We propose an approach for classifying multivariate ECG signals based on discriminant and wavelet analyzes. For this purpose we use multiple-scale wavelet variances and wavelet correlations to distinguish between the patterns of multivariate ECG signals based on the variability of the individual components of each ECG signal and the relationships between every pair of these components. Using the results of other ECG classification studies in the literature as references, we demonstrate that our approach applied to 12-lead ECG signals from a particular database, displays quite favourable performance. We also demonstrate with real and synthetic ECG data that our approach to classifying multivariate time series out performs other well-known approaches for classifying multivariate time series. In simulation studies using multivariate time series that have patterns that are different from that of the ECG signals, we also demonstrate very favourably performance of this approach when compared to these other approaches.

Keywords: Time; series; Wavelet; Variances; Wavelet; Correlations; Discriminant; Analysis (search for similar items in EconPapers)
JEL-codes: C22 C38 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws120603

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