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"Time Series Analysis": models, code, and papers

Global Outliers Detection in Wireless Sensor Networks: A Novel Approach Integrating Time-Series Analysis, Entropy, and Random Forest-based Classification

Jul 21, 2021
Mahmood Safaei, Maha Driss, Wadii Boulila, Elankovan A Sundararajan, Mitra Safaei

Wireless Sensor Networks (WSNs) have recently attracted greater attention worldwide due to their practicality in monitoring, communicating, and reporting specific physical phenomena. The data collected by WSNs is often inaccurate as a result of unavoidable environmental factors, which may include noise, signal weakness, or intrusion attacks depending on the specific situation. Sending high-noise data has negative effects not just on data accuracy and network reliability, but also regarding the decision-making processes in the base station. Anomaly detection, or outlier detection, is the process of detecting noisy data amidst the contexts thus described. The literature contains relatively few noise detection techniques in the context of WSNs, particularly for outlier-detection algorithms applying time series analysis, which considers the effective neighbors to ensure a global-collaborative detection. Hence, the research presented in this paper is intended to design and implement a global outlier-detection approach, which allows us to find and select appropriate neighbors to ensure an adaptive collaborative detection based on time-series analysis and entropy techniques. The proposed approach applies a random forest algorithm for identifying the best results. To measure the effectiveness and efficiency of the proposed approach, a comprehensive and real scenario provided by the Intel Berkeley Research lab has been simulated. Noisy data have been injected into the collected data randomly. The results obtained from the experiment then conducted experimentation demonstrate that our approach can detect anomalies with up to 99% accuracy.

  
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Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison

Oct 08, 2019
Yi Huang, Ishanu Chattopadhyay

Recognizing subtle historical patterns is central to modeling and forecasting problems in time series analysis. Here we introduce and develop a new approach to quantify deviations in the underlying hidden generators of observed data streams, resulting in a new efficiently computable universal metric for time series. The proposed metric is in the sense that we can compare and contrast data streams regardless of where and how they are generated and without any feature engineering step. The approach proposed in this paper is conceptually distinct from our previous work on data smashing, and vastly improves discrimination performance and computing speed. The core idea here is the generalization of the notion of KL divergence often used to compare probability distributions to a notion of divergence in time series. We call this the sequence likelihood (SL) divergence, which may be used to measure deviations within a well-defined class of discrete-valued stochastic processes. We devise efficient estimators of SL divergence from finite sample paths and subsequently formulate a universal metric useful for computing distance between time series produced by hidden stochastic generators.

* typos corrected 
  
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A New Unified Deep Learning Approach with Decomposition-Reconstruction-Ensemble Framework for Time Series Forecasting

Feb 22, 2020
Guowei Zhang, Tao Ren, Yifan Yang

A new variational mode decomposition (VMD) based deep learning approach is proposed in this paper for time series forecasting problem. Firstly, VMD is adopted to decompose the original time series into several sub-signals. Then, a convolutional neural network (CNN) is applied to learn the reconstruction patterns on the decomposed sub-signals to obtain several reconstructed sub-signals. Finally, a long short term memory (LSTM) network is employed to forecast the time series with the decomposed sub-signals and the reconstructed sub-signals as inputs. The proposed VMD-CNN-LSTM approach is originated from the decomposition-reconstruction-ensemble framework, and innovated by embedding the reconstruction, single forecasting, and ensemble steps in a unified deep learning approach. To verify the forecasting performance of the proposed approach, four typical time series datasets are introduced for empirical analysis. The empirical results demonstrate that the proposed approach outperforms consistently the benchmark approaches in terms of forecasting accuracy, and also indicate that the reconstructed sub-signals obtained by CNN is of importance for further improving the forecasting performance.

  
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An Empirical Evaluation of Time-Series Feature Sets

Oct 21, 2021
Trent Henderson, Ben D. Fulcher

Solving time-series problems with features has been rising in popularity due to the availability of software for feature extraction. Feature-based time-series analysis can now be performed using many different feature sets, including hctsa (7730 features: Matlab), feasts (42 features: R), tsfeatures (63 features: R), Kats (40 features: Python), tsfresh (up to 1558 features: Python), TSFEL (390 features: Python), and the C-coded catch22 (22 features: Matlab, R, Python, and Julia). There is substantial overlap in the types of methods included in these sets (e.g., properties of the autocorrelation function and Fourier power spectrum), but they are yet to be systematically compared. Here we compare these seven sets on computational speed, assess the redundancy of features contained in each, and evaluate the overlap and redundancy between them. We take an empirical approach to feature similarity based on outputs across a diverse set of real-world and simulated time series. We find that feature sets vary across three orders of magnitude in their computation time per feature on a laptop for a 1000-sample series, from the fastest sets catch22 and TSFEL (~0.1ms per feature) to tsfeatures (~3s per feature). Using PCA to evaluate feature redundancy within each set, we find the highest within-set redundancy for TSFEL and tsfresh. For example, in TSFEL, 90% of the variance across 390 features can be captured with just four PCs. Finally, we introduce a metric for quantifying overlap between pairs of feature sets, which indicates substantial overlap. We found that the largest feature set, hctsa, is the most comprehensive, and that tsfresh is the most distinctive, due to its incorporation of many low-level Fourier coefficients. Our results provide empirical understanding of the differences between existing feature sets, information that can be used to better tailor feature sets to their applications.

* Submitted to and accepted for publication in SFE-TSDM Workshop at 21st IEEE International Conference on Data Mining (IEEE ICDM 2021) 
  
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Neural Ordinary Differential Equation Model for Evolutionary Subspace Clustering and Its Applications

Jul 22, 2021
Mingyuan Bai, S. T. Boris Choy, Junping Zhang, Junbin Gao

The neural ordinary differential equation (neural ODE) model has attracted increasing attention in time series analysis for its capability to process irregular time steps, i.e., data are not observed over equally-spaced time intervals. In multi-dimensional time series analysis, a task is to conduct evolutionary subspace clustering, aiming at clustering temporal data according to their evolving low-dimensional subspace structures. Many existing methods can only process time series with regular time steps while time series are unevenly sampled in many situations such as missing data. In this paper, we propose a neural ODE model for evolutionary subspace clustering to overcome this limitation and a new objective function with subspace self-expressiveness constraint is introduced. We demonstrate that this method can not only interpolate data at any time step for the evolutionary subspace clustering task, but also achieve higher accuracy than other state-of-the-art evolutionary subspace clustering methods. Both synthetic and real-world data are used to illustrate the efficacy of our proposed method.

  
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Residual Networks as Flows of Velocity Fields for Diffeomorphic Time Series Alignment

Jun 22, 2021
Hao Huang, Boulbaba Ben Amor, Xichan Lin, Fan Zhu, Yi Fang

Non-linear (large) time warping is a challenging source of nuisance in time-series analysis. In this paper, we propose a novel diffeomorphic temporal transformer network for both pairwise and joint time-series alignment. Our ResNet-TW (Deep Residual Network for Time Warping) tackles the alignment problem by compositing a flow of incremental diffeomorphic mappings. Governed by the flow equation, our Residual Network (ResNet) builds smooth, fluid and regular flows of velocity fields and consequently generates smooth and invertible transformations (i.e. diffeomorphic warping functions). Inspired by the elegant Large Deformation Diffeomorphic Metric Mapping (LDDMM) framework, the final transformation is built by the flow of time-dependent vector fields which are none other than the building blocks of our Residual Network. The latter is naturally viewed as an Eulerian discretization schema of the flow equation (an ODE). Once trained, our ResNet-TW aligns unseen data by a single inexpensive forward pass. As we show in experiments on both univariate (84 datasets from UCR archive) and multivariate time-series (MSR Action-3D, Florence-3D and MSR Daily Activity), ResNet-TW achieves competitive performance in joint alignment and classification.

* 19 pages 
  
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CDSA: Cross-Dimensional Self-Attention for Multivariate, Geo-tagged Time Series Imputation

May 23, 2019
Jiawei Ma, Zheng Shou, Alireza Zareian, Hassan Mansour, Anthony Vetro, Shih-Fu Chang

Many real-world applications involve multivariate, geo-tagged time series data: at each location, multiple sensors record corresponding measurements. For example, air quality monitoring system records PM2.5, CO, etc. The resulting time-series data often has missing values due to device outages or communication errors. In order to impute the missing values, state-of-the-art methods are built on Recurrent Neural Networks (RNN), which process each time stamp sequentially, prohibiting the direct modeling of the relationship between distant time stamps. Recently, the self-attention mechanism has been proposed for sequence modeling tasks such as machine translation, significantly outperforming RNN because the relationship between each two time stamps can be modeled explicitly. In this paper, we are the first to adapt the self-attention mechanism for multivariate, geo-tagged time series data. In order to jointly capture the self-attention across multiple dimensions, including time, location and the sensor measurements, while maintain low computational complexity, we propose a novel approach called Cross-Dimensional Self-Attention (CDSA) to process each dimension sequentially, yet in an order-independent manner. Our extensive experiments on four real-world datasets, including three standard benchmarks and our newly collected NYC-traffic dataset, demonstrate that our approach outperforms the state-of-the-art imputation and forecasting methods. A detailed systematic analysis confirms the effectiveness of our design choices.

  
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Causal Patterns: Extraction of multiple causal relationships by Mixture of Probabilistic Partial Canonical Correlation Analysis

Dec 12, 2017
Hiroki Mori, Keisuke Kawano, Hiroki Yokoyama

In this paper, we propose a mixture of probabilistic partial canonical correlation analysis (MPPCCA) that extracts the Causal Patterns from two multivariate time series. Causal patterns refer to the signal patterns within interactions of two elements having multiple types of mutually causal relationships, rather than a mixture of simultaneous correlations or the absence of presence of a causal relationship between the elements. In multivariate statistics, partial canonical correlation analysis (PCCA) evaluates the correlation between two multivariates after subtracting the effect of the third multivariate. PCCA can calculate the Granger Causal- ity Index (which tests whether a time-series can be predicted from an- other time-series), but is not applicable to data containing multiple partial canonical correlations. After introducing the MPPCCA, we propose an expectation-maxmization (EM) algorithm that estimates the parameters and latent variables of the MPPCCA. The MPPCCA is expected to ex- tract multiple partial canonical correlations from data series without any supervised signals to split the data as clusters. The method was then eval- uated in synthetic data experiments. In the synthetic dataset, our method estimated the multiple partial canonical correlations more accurately than the existing method. To determine the types of patterns detectable by the method, experiments were also conducted on real datasets. The method estimated the communication patterns In motion-capture data. The MP- PCCA is applicable to various type of signals such as brain signals, human communication and nonlinear complex multibody systems.

* Proceedings of the 4th IEEE International Conference on Data Science and Advanced Analytics, pp.744-754, 2017 
* DSAA2017 - The 4th IEEE International Conference on Data Science and Advanced Analytics 
  
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Nyström Regularization for Time Series Forecasting

Nov 13, 2021
Zirui Sun, Mingwei Dai, Yao Wang, Shao-Bo Lin

This paper focuses on learning rate analysis of Nystr\"{o}m regularization with sequential sub-sampling for $\tau$-mixing time series. Using a recently developed Banach-valued Bernstein inequality for $\tau$-mixing sequences and an integral operator approach based on second-order decomposition, we succeed in deriving almost optimal learning rates of Nystr\"{o}m regularization with sequential sub-sampling for $\tau$-mixing time series. A series of numerical experiments are carried out to verify our theoretical results, showing the excellent learning performance of Nystr\"{o}m regularization with sequential sub-sampling in learning massive time series data. All these results extend the applicable range of Nystr\"{o}m regularization from i.i.d. samples to non-i.i.d. sequences.

* 35 pages 
  
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