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"Time Series Analysis": models, code, and papers
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One Fits All: Universal Time Series Analysis by Pretrained LM and Specially Designed Adaptors

Nov 24, 2023
Tian Zhou, Peisong Niu, Xue Wang, Liang Sun, Rong Jin

Despite the impressive achievements of pre-trained models in the fields of natural language processing (NLP) and computer vision (CV), progress in the domain of time series analysis has been limited. In contrast to NLP and CV, where a single model can handle various tasks, time series analysis still relies heavily on task-specific methods for activities such as classification, anomaly detection, forecasting, and few-shot learning. The primary obstacle to developing a pre-trained model for time series analysis is the scarcity of sufficient training data. In our research, we overcome this obstacle by utilizing pre-trained models from language or CV, which have been trained on billions of data points, and apply them to time series analysis. We assess the effectiveness of the pre-trained transformer model in two ways. Initially, we maintain the original structure of the self-attention and feedforward layers in the residual blocks of the pre-trained language or image model, using the Frozen Pre-trained Transformer (FPT) for time series analysis with the addition of projection matrices for input and output. Additionally, we introduce four unique adapters, designed specifically for downstream tasks based on the pre-trained model, including forecasting and anomaly detection. These adapters are further enhanced with efficient parameter tuning, resulting in superior performance compared to all state-of-the-art methods.Our comprehensive experimental studies reveal that (a) the simple FPT achieves top-tier performance across various time series analysis tasks; and (b) fine-tuning the FPT with the custom-designed adapters can further elevate its performance, outshining specialized task-specific models.

* this article draws heavily from arXiv:2302.11939 
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Large Pre-trained time series models for cross-domain Time series analysis tasks

Nov 19, 2023
Harshavardhan Kamarthi, B. Aditya Prakash

Large pre-trained models have been instrumental in significant advancements in domains like language and vision making model training for individual downstream tasks more efficient as well as provide superior performance. However, tackling time-series analysis tasks usually involves designing and training a separate model from scratch leveraging training data and domain expertise specific to the task. We tackle a significant challenge for pre-training a general time-series model from multiple heterogeneous time-series dataset: providing semantically useful inputs to models for modeling time series of different dynamics from different domains. We observe that partitioning time-series into segments as inputs to sequential models produces semantically better inputs and propose a novel model LPTM that automatically identifies optimal dataset-specific segmentation strategy leveraging self-supervised learning loss during pre-training. LPTM provides performance similar to or better than domain-specific state-of-art model and is significantly more data and compute efficient taking up to 40% less data as well as 50% less training time to achieve state-of-art performance in a wide range of time-series analysis tasks from multiple disparate domain.

* 14 pages, 3 Figures, 3 Tables 
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An Adaptive Framework for Generalizing Network Traffic Prediction towards Uncertain Environments

Nov 30, 2023
Alexander Downey, Evren Tuna, Alkan Soysal

We have developed a new framework using time-series analysis for dynamically assigning mobile network traffic prediction models in previously unseen wireless environments. Our framework selectively employs learned behaviors, outperforming any single model with over a 50% improvement relative to current studies. More importantly, it surpasses traditional approaches without needing prior knowledge of a cell. While this paper focuses on network traffic prediction using our adaptive forecasting framework, this framework can also be applied to other machine learning applications in uncertain environments. The framework begins with unsupervised clustering of time-series data to identify unique trends and seasonal patterns. Subsequently, we apply supervised learning for traffic volume prediction within each cluster. This specialization towards specific traffic behaviors occurs without penalties from spatial and temporal variations. Finally, the framework adaptively assigns trained models to new, previously unseen cells. By analyzing real-time measurements of a cell, our framework intelligently selects the most suitable cluster for that cell at any given time, with cluster assignment dynamically adjusting to spatio-temporal fluctuations.

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A Multi-Scale Decomposition MLP-Mixer for Time Series Analysis

Oct 18, 2023
Shuhan Zhong, Sizhe Song, Guanyao Li, Weipeng Zhuo, Yang Liu, S. -H. Gary Chan

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Time series data, often characterized by unique composition and complex multi-scale temporal variations, requires special consideration of decomposition and multi-scale modeling in its analysis. Existing deep learning methods on this best fit to only univariate time series, and have not sufficiently accounted for sub-series level modeling and decomposition completeness. To address this, we propose MSD-Mixer, a Multi-Scale Decomposition MLP-Mixer which learns to explicitly decompose the input time series into different components, and represents the components in different layers. To handle multi-scale temporal patterns and inter-channel dependencies, we propose a novel temporal patching approach to model the time series as multi-scale sub-series, i.e., patches, and employ MLPs to mix intra- and inter-patch variations and channel-wise correlations. In addition, we propose a loss function to constrain both the magnitude and autocorrelation of the decomposition residual for decomposition completeness. Through extensive experiments on various real-world datasets for five common time series analysis tasks (long- and short-term forecasting, imputation, anomaly detection, and classification), we demonstrate that MSD-Mixer consistently achieves significantly better performance in comparison with other state-of-the-art task-general and task-specific approaches.

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Precise localization within the GI tract by combining classification of CNNs and time-series analysis of HMMs

Oct 11, 2023
Julia Werner, Christoph Gerum, Moritz Reiber, Jörg Nick, Oliver Bringmann

Figure 1 for Precise localization within the GI tract by combining classification of CNNs and time-series analysis of HMMs
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This paper presents a method to efficiently classify the gastroenterologic section of images derived from Video Capsule Endoscopy (VCE) studies by exploring the combination of a Convolutional Neural Network (CNN) for classification with the time-series analysis properties of a Hidden Markov Model (HMM). It is demonstrated that successive time-series analysis identifies and corrects errors in the CNN output. Our approach achieves an accuracy of $98.04\%$ on the Rhode Island (RI) Gastroenterology dataset. This allows for precise localization within the gastrointestinal (GI) tract while requiring only approximately 1M parameters and thus, provides a method suitable for low power devices

* Accepted at MLMI 2023 
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Comparing Time-Series Analysis Approaches Utilized in Research Papers to Forecast COVID-19 Cases in Africa: A Literature Review

Oct 05, 2023
Ali Ebadi, Ebrahim Sahafizadeh

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This literature review aimed to compare various time-series analysis approaches utilized in forecasting COVID-19 cases in Africa. The study involved a methodical search for English-language research papers published between January 2020 and July 2023, focusing specifically on papers that utilized time-series analysis approaches on COVID-19 datasets in Africa. A variety of databases including PubMed, Google Scholar, Scopus, and Web of Science were utilized for this process. The research papers underwent an evaluation process to extract relevant information regarding the implementation and performance of the time-series analysis models. The study highlighted the different methodologies employed, evaluating their effectiveness and limitations in forecasting the spread of the virus. The result of this review could contribute deeper insights into the field, and future research should consider these insights to improve time series analysis models and explore the integration of different approaches for enhanced public health decision-making.

* 7 pages 
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A projected nonlinear state-space model for forecasting time series signals

Nov 22, 2023
Christian Donner, Anuj Mishra, Hideaki Shimazaki

Learning and forecasting stochastic time series is essential in various scientific fields. However, despite the proposals of nonlinear filters and deep-learning methods, it remains challenging to capture nonlinear dynamics from a few noisy samples and predict future trajectories with uncertainty estimates while maintaining computational efficiency. Here, we propose a fast algorithm to learn and forecast nonlinear dynamics from noisy time series data. A key feature of the proposed model is kernel functions applied to projected lines, enabling fast and efficient capture of nonlinearities in the latent dynamics. Through empirical case studies and benchmarking, the model demonstrates its effectiveness in learning and forecasting complex nonlinear dynamics, offering a valuable tool for researchers and practitioners in time series analysis.

* 15 pages, 6 figures 
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Linear-time online visibility graph transformation algorithm: for both natural and horizontal visibility criteria

Nov 21, 2023
Yusheng Huang, Yong Deng

Visibility graph (VG) transformation is a technique used to convert a time series into a graph based on specific visibility criteria. It has attracted increasing interest in the fields of time series analysis, forecasting, and classification. Optimizing the VG transformation algorithm to accelerate the process is a critical aspect of VG-related research, as it enhances the applicability of VG transformation in latency-sensitive areas and conserves computational resources. In the real world, many time series are presented in the form of data streams. Despite the proposal of the concept of VG's online functionality, previous studies have not thoroughly explored the acceleration of VG transformation by leveraging the characteristics of data streams. In this paper, we propose that an efficient online VG algorithm should adhere to two criteria and develop a linear-time method, termed the LOT framework, for both natural and horizontal visibility graph transformations in data stream scenarios. Experiments are conducted on two datasets, comparing our approach with five existing methods as baselines. The results demonstrate the validity and promising computational efficiency of our framework.

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Learning Multi-Frequency Partial Correlation Graphs

Nov 27, 2023
Gabriele D'Acunto, Paolo Di Lorenzo, Francesco Bonchi, Stefania Sardellitti, Sergio Barbarossa

Despite the large research effort devoted to learning dependencies between time series, the state of the art still faces a major limitation: existing methods learn partial correlations but fail to discriminate across distinct frequency bands. Motivated by many applications in which this differentiation is pivotal, we overcome this limitation by learning a block-sparse, frequency-dependent, partial correlation graph, in which layers correspond to different frequency bands, and partial correlations can occur over just a few layers. To this aim, we formulate and solve two nonconvex learning problems: the first has a closed-form solution and is suitable when there is prior knowledge about the number of partial correlations; the second hinges on an iterative solution based on successive convex approximation, and is effective for the general case where no prior knowledge is available. Numerical results on synthetic data show that the proposed methods outperform the current state of the art. Finally, the analysis of financial time series confirms that partial correlations exist only within a few frequency bands, underscoring how our methods enable the gaining of valuable insights that would be undetected without discriminating along the frequency domain.

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Correlated Attention in Transformers for Multivariate Time Series

Nov 20, 2023
Quang Minh Nguyen, Lam M. Nguyen, Subhro Das

Multivariate time series (MTS) analysis prevails in real-world applications such as finance, climate science and healthcare. The various self-attention mechanisms, the backbone of the state-of-the-art Transformer-based models, efficiently discover the temporal dependencies, yet cannot well capture the intricate cross-correlation between different features of MTS data, which inherently stems from complex dynamical systems in practice. To this end, we propose a novel correlated attention mechanism, which not only efficiently captures feature-wise dependencies, but can also be seamlessly integrated within the encoder blocks of existing well-known Transformers to gain efficiency improvement. In particular, correlated attention operates across feature channels to compute cross-covariance matrices between queries and keys with different lag values, and selectively aggregate representations at the sub-series level. This architecture facilitates automated discovery and representation learning of not only instantaneous but also lagged cross-correlations, while inherently capturing time series auto-correlation. When combined with prevalent Transformer baselines, correlated attention mechanism constitutes a better alternative for encoder-only architectures, which are suitable for a wide range of tasks including imputation, anomaly detection and classification. Extensive experiments on the aforementioned tasks consistently underscore the advantages of correlated attention mechanism in enhancing base Transformer models, and demonstrate our state-of-the-art results in imputation, anomaly detection and classification.

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