Search-Based Class Discretization for Hidden Markov Model for Regression

Kate RevoredoGerson Zaverucha

The regression-by-discretization approach allows the use of classification algorithm in a regression task. It works as a pre-processing step in which the numeric target value is discretized into a set of intervals. We had applied this approach to the Hidden Markov Model for Regression (HMMR) which was successfully compared to the Naive Bayes for Regression and two traditional forecasting methods, Box-Jenkins and Winters. In this work, to further improve these results, we apply three discretization methods to HMMR using ten time series data sets. The experimental results showed that one of the discretization methods improved the results in most of the data sets, although each method improved the results in at least one data set. Therefore, it would be better to have a search algorithm to automatically find the optimal number and width of the intervals.

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