Fuzzy support vector machine for classification of time series data: A simulation study

Support vector machine (SVM) has become one of most developed methods for classification, focusing on cross-sectional analysis. However, classification of time series data is an important issue in statistics and data mining. Classification of time series data using SVMs that focus on cross-sectional data leads to improper classification, and hence, the SVM needs to be extended for handling time series dataset. As with cross-section data, the problem of imbalanced data is also common in time series data. Fuzzy method has been proven to be capable of overcoming the case of imbalanced data. In this paper, we developed a Fuzzy Support Vector Machine (FSVM) model to classify time series data with imbalanced class. The proposed method puts the fuzzy membership function on the constraint function. Through simulation studies, this research aims to assess the performance of the developed FSVM in classifying time series data. Based on the classification accuracy criteria, we prove that the proposed FSVM method outperforms the standard SVM method for the classification of multiclass time series data.