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

Multi-Decoder RNN Autoencoder Based on Variational Bayes Method

Apr 29, 2020
Daisuke Kaji, Kazuho Watanabe, Masahiro Kobayashi

Clustering algorithms have wide applications and play an important role in data analysis fields including time series data analysis. However, in time series analysis, most of the algorithms used signal shape features or the initial value of hidden variable of a neural network. Little has been discussed on the methods based on the generative model of the time series. In this paper, we propose a new clustering algorithm focusing on the generative process of the signal with a recurrent neural network and the variational Bayes method. Our experiments show that the proposed algorithm not only has a robustness against for phase shift, amplitude and signal length variations but also provide a flexible clustering based on the property of the variational Bayes method.

* 8 pages, 11 figures, accepted for publication in IJCNN 
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Generalised Structural CNNs (SCNNs) for time series data with arbitrary graph topology

May 30, 2018
Thomas Teh, Chaiyawan Auepanwiriyakul, John Alexander Harston, A. Aldo Faisal

Deep Learning methods, specifically convolutional neural networks (CNNs), have seen a lot of success in the domain of image-based data, where the data offers a clearly structured topology in the regular lattice of pixels. This 4-neighbourhood topological simplicity makes the application of convolutional masks straightforward for time series data, such as video applications, but many high-dimensional time series data are not organised in regular lattices, and instead values may have adjacency relationships with non-trivial topologies, such as small-world networks or trees. In our application case, human kinematics, it is currently unclear how to generalise convolutional kernels in a principled manner. Therefore we define and implement here a framework for general graph-structured CNNs for time series analysis. Our algorithm automatically builds convolutional layers using the specified adjacency matrix of the data dimensions and convolutional masks that scale with the hop distance. In the limit of a lattice-topology our method produces the well-known image convolutional masks. We test our method first on synthetic data of arbitrarily-connected graphs and human hand motion capture data, where the hand is represented by a tree capturing the mechanical dependencies of the joints. We are able to demonstrate, amongst other things, that inclusion of the graph structure of the data dimensions improves model prediction significantly, when compared against a benchmark CNN model with only time convolution layers.

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Methods for Mapping Forest Disturbance and Degradation from Optical Earth Observation Data: a Review

Mar 22, 2017
Manuela Hirschmugl, Heinz Gallaun, Matthias Dees, Pawan Datta, Janik Deutscher, Nikos Koutsias, Mathias Schardt

Purpose of review: This paper presents a review of the current state of the art in remote sensing based monitoring of forest disturbances and forest degradation from optical Earth Observation data. Part one comprises an overview of currently available optical remote sensing sensors, which can be used for forest disturbance and degradation mapping. Part two reviews the two main categories of existing approaches: classical image-to-image change detection and time series analysis. Recent findings: With the launch of the Sentinel-2a satellite and available Landsat imagery, time series analysis has become the most promising but also most demanding category of degradation mapping approaches. Four time series classification methods are distinguished. The methods are explained and their benefits and drawbacks are discussed. A separate chapter presents a number of recent forest degradation mapping studies for two different ecosystems: temperate forests with a geographical focus on Europe and tropical forests with a geographical focus on Africa. Summary: The review revealed that a wide variety of methods for the detection of forest degradation is already available. Today, the main challenge is to transfer these approaches to high resolution time series data from multiple sensors. Future research should also focus on the classification of disturbance types and the development of robust up-scalable methods to enable near real time disturbance mapping in support of operational reactive measures.

* Current Forestry Reports 2017 
* This is the Authors' accepted version only! The final version of this paper can be located at as part of the Current Forestry Reports (2017) 3: 32. doi:10.1007/s40725-017-0047-2 
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Construe: a software solution for the explanation-based interpretation of time series

Mar 17, 2020
Tomas Teijeiro, Paulo Felix

This paper presents a software implementation of a general framework for time series interpretation based on abductive reasoning. The software provides a data model and a set of algorithms to make inference to the best explanation of a time series, resulting in a description in multiple abstraction levels of the processes underlying the time series. As a proof of concept, a comprehensive knowledge base for the electrocardiogram (ECG) domain is provided, so it can be used directly as a tool for ECG analysis. This tool has been successfully validated in several noteworthy problems, such as heartbeat classification or atrial fibrillation detection.

* Original Software Publication. 10 pages, 4 figures 
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Adaptive exponential power distribution with moving estimator for nonstationary time series

Mar 23, 2020
Jarek Duda

While standard estimation assumes that all datapoints are from probability distribution of the same fixed parameters $\theta$, we will focus on maximum likelihood (ML) adaptive estimation for nonstationary time series: separately estimating parameters $\theta_T$ for each time $T$ based on the earlier values $(x_t)_{t

* 6 pages, 4 figures 
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LSAR: Efficient Leverage Score Sampling Algorithm for the Analysis of Big Time Series Data

Dec 26, 2019
Ali Eshragh, Fred Roosta, Asef Nazari, Michael W. Mahoney

We apply methods from randomized numerical linear algebra (RandNLA) to develop improved algorithms for the analysis of large-scale time series data. We first develop a new fast algorithm to estimate the leverage scores of an autoregressive (AR) model in big data regimes. We show that the accuracy of approximations lies within $(1+\mathcal{O}(\varepsilon))$ of the true leverage scores with high probability. These theoretical results are subsequently exploited to develop an efficient algorithm, called LSAR, for fitting an appropriate AR model to big time series data. Our proposed algorithm is guaranteed, with high probability, to find the maximum likelihood estimates of the parameters of the underlying true AR model and has a worst case running time that significantly improves those of the state-of-the-art alternatives in big data regimes. Empirical results on large-scale synthetic as well as real data highly support the theoretical results and reveal the efficacy of this new approach.

* 38 pages, 8 figures 
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Normalized multivariate time series causality analysis and causal graph reconstruction

Apr 23, 2021
X. San Liang

Causality analysis is an important problem lying at the heart of science, and is of particular importance in data science and machine learning. An endeavor during the past 16 years viewing causality as real physical notion so as to formulate it from first principles, however, seems to go unnoticed. This study introduces to the community this line of work, with a long-due generalization of the information flow-based bivariate time series causal inference to multivariate series, based on the recent advance in theoretical development. The resulting formula is transparent, and can be implemented as a computationally very efficient algorithm for application. It can be normalized, and tested for statistical significance. Different from the previous work along this line where only information flows are estimated, here an algorithm is also implemented to quantify the influence of a unit to itself. While this forms a challenge in some causal inferences, here it comes naturally, and hence the identification of self-loops in a causal graph is fulfilled automatically as the causalities along edges are inferred. To demonstrate the power of the approach, presented here are two applications in extreme situations. The first is a network of multivariate processes buried in heavy noises (with the noise-to-signal ratio exceeding 100), and the second a network with nearly synchronized chaotic oscillators. In both graphs, confounding processes exist. While it seems to be a huge challenge to reconstruct from given series these causal graphs, an easy application of the algorithm immediately reveals the desideratum. Particularly, the confounding processes have been accurately differentiated. Considering the surge of interest in the community, this study is very timely.

* 17 pages, 2 figures 
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Attentive Weakly Supervised land cover mapping for object-based satellite image time series data with spatial interpretation

Apr 30, 2020
Dino Ienco, Yawogan Jean Eudes Gbodjo, Roberto Interdonato, Raffaele Gaetano

Nowadays, modern Earth Observation systems continuously collect massive amounts of satellite information. The unprecedented possibility to acquire high resolution Satellite Image Time Series (SITS) data (series of images with high revisit time period on the same geographical area) is opening new opportunities to monitor the different aspects of the Earth Surface but, at the same time, it is raising up new challenges in term of suitable methods to analyze and exploit such huge amount of rich and complex image data. One of the main task associated to SITS data analysis is related to land cover mapping where satellite data are exploited via learning methods to recover the Earth Surface status aka the corresponding land cover classes. Due to operational constraints, the collected label information, on which machine learning strategies are trained, is often limited in volume and obtained at coarse granularity carrying out inexact and weak knowledge that can affect the whole process. To cope with such issues, in the context of object-based SITS land cover mapping, we propose a new deep learning framework, named TASSEL (aTtentive weAkly Supervised Satellite image time sEries cLassifier), that is able to intelligently exploit the weak supervision provided by the coarse granularity labels. Furthermore, our framework also produces an additional side-information that supports the model interpretability with the aim to make the black box gray. Such side-information allows to associate spatial interpretation to the model decision via visual inspection.

* Under submission to Elsevier journal 
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Interpolation-Prediction Networks for Irregularly Sampled Time Series

Sep 13, 2019
Satya Narayan Shukla, Benjamin M. Marlin

In this paper, we present a new deep learning architecture for addressing the problem of supervised learning with sparse and irregularly sampled multivariate time series. The architecture is based on the use of a semi-parametric interpolation network followed by the application of a prediction network. The interpolation network allows for information to be shared across multiple dimensions of a multivariate time series during the interpolation stage, while any standard deep learning model can be used for the prediction network. This work is motivated by the analysis of physiological time series data in electronic health records, which are sparse, irregularly sampled, and multivariate. We investigate the performance of this architecture on both classification and regression tasks, showing that our approach outperforms a range of baseline and recently proposed models.

* International Conference on Learning Representations. arXiv admin note: substantial text overlap with arXiv:1812.00531 
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