Time-series Classification Using Neural Bag-of-Features

Classification of time-series data is a challenging problem with many real-world applications, ranging from identifying medical conditions from electroencephalography (EEG) measurements to forecasting the stock market. The well known Bag-of-Features (BoF) model was recently adapted towards time-series representation. In this work, a neural generalization of the BoF model, composed of an RBF layer and an accumulation layer, is proposed as a neural layer that receives the features extracted from a time-series and gradually builds its representation. The proposed method can be combined with any other layer or classifier, such as fully connected layers or feature transformation layers, to form deep neural networks for time-series classification. The resulting networks are end-to-end differentiable and they can be trained using regular back-propagation. It is demonstrated, using two time-series datasets, including a large-scale financial dataset, that the proposed approach can significantly increase the classification metrics over other baseline and state-of-the-art techniques.