Get our free extension to see links to code for papers anywhere online!

Chrome logo  Add to Chrome

Firefox logo Add to Firefox

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

A new approach for physiological time series

Apr 23, 2015
Dong Mao, Yang Wang, Qiang Wu

We developed a new approach for the analysis of physiological time series. An iterative convolution filter is used to decompose the time series into various components. Statistics of these components are extracted as features to characterize the mechanisms underlying the time series. Motivated by the studies that show many normal physiological systems involve irregularity while the decrease of irregularity usually implies the abnormality, the statistics for "outliers" in the components are used as features measuring irregularity. Support vector machines are used to select the most relevant features that are able to differentiate the time series from normal and abnormal systems. This new approach is successfully used in the study of congestive heart failure by heart beat interval time series.


AutoML Meets Time Series Regression Design and Analysis of the AutoSeries Challenge

Jul 28, 2021
Zhen Xu, Wei-Wei Tu, Isabelle Guyon

Analyzing better time series with limited human effort is of interest to academia and industry. Driven by business scenarios, we organized the first Automated Time Series Regression challenge (AutoSeries) for the WSDM Cup 2020. We present its design, analysis, and post-hoc experiments. The code submission requirement precluded participants from any manual intervention, testing automated machine learning capabilities of solutions, across many datasets, under hardware and time limitations. We prepared 10 datasets from diverse application domains (sales, power consumption, air quality, traffic, and parking), featuring missing data, mixed continuous and categorical variables, and various sampling rates. Each dataset was split into a training and a test sequence (which was streamed, allowing models to continuously adapt). The setting of time series regression, differs from classical forecasting in that covariates at the present time are known. Great strides were made by participants to tackle this AutoSeries problem, as demonstrated by the jump in performance from the sample submission, and post-hoc comparisons with AutoGluon. Simple yet effective methods were used, based on feature engineering, LightGBM, and random search hyper-parameter tuning, addressing all aspects of the challenge. Our post-hoc analyses revealed that providing additional time did not yield significant improvements. The winners' code was open-sourced

* ECML PKDD 2021 

Multi-Time Attention Networks for Irregularly Sampled Time Series

Jan 25, 2021
Satya Narayan Shukla, Benjamin M. Marlin

Irregular sampling occurs in many time series modeling applications where it presents a significant challenge to standard deep learning models. This work is motivated by the analysis of physiological time series data in electronic health records, which are sparse, irregularly sampled, and multivariate. In this paper, we propose a new deep learning framework for this setting that we call Multi-Time Attention Networks. Multi-Time Attention Networks learn an embedding of continuous-time values and use an attention mechanism to produce a fixed-length representation of a time series containing a variable number of observations. We investigate the performance of our framework on interpolation and classification tasks using multiple datasets. Our results show that our approach performs as well or better than a range of baseline and recently proposed models while offering significantly faster training times than current state-of-the-art methods.

* Accepted at International Conference on Learning Representations (ICLR) 2021 

TSAMT: Time-Series-Analysis-based Motion Transfer among Multiple Cameras

Sep 29, 2021
Yaping Zhao, Guanghan Li, Zhongrui Wang

Along with advances in optical sensors is the common practice of building an imaging system with heterogeneous cameras. While high-resolution (HR) videos acquisition and analysis are benefited from hybrid sensors, the intrinsic characteristics of multiple cameras lead to an interesting motion transfer problem. Unfortunately, most of the existing methods provide no theoretical analysis and require intensive training data. In this paper, we propose an algorithm using time series analysis for motion transfer among multiple cameras. Specifically, we firstly identify seasonality in motion data and then build an addictive time series model to extract patterns that could be transferred across cameras. Our approach has a complete and clear mathematical formulation, thus being efficient and interpretable. Through quantitative evaluations on real-world data, we demonstrate the effectiveness of our method. Furthermore, our motion transfer algorithm could combine with and facilitate downstream tasks, e.g., enhancing pose estimation on LR videos with inherent patterns extracted from HR ones. Code is available at

* 9 pages, 7 figures 

Data-Driven Copy-Paste Imputation for Energy Time Series

Jan 05, 2021
Moritz Weber, Marian Turowski, Hüseyin K. Çakmak, Ralf Mikut, Uwe Kühnapfel, Veit Hagenmeyer

A cornerstone of the worldwide transition to smart grids are smart meters. Smart meters typically collect and provide energy time series that are vital for various applications, such as grid simulations, fault-detection, load forecasting, load analysis, and load management. Unfortunately, these time series are often characterized by missing values that must be handled before the data can be used. A common approach to handle missing values in time series is imputation. However, existing imputation methods are designed for power time series and do not take into account the total energy of gaps, resulting in jumps or constant shifts when imputing energy time series. In order to overcome these issues, the present paper introduces the new Copy-Paste Imputation (CPI) method for energy time series. The CPI method copies data blocks with similar properties and pastes them into gaps of the time series while preserving the total energy of each gap. The new method is evaluated on a real-world dataset that contains six shares of artificially inserted missing values between 1 and 30%. It outperforms by far the three benchmark imputation methods selected for comparison. The comparison furthermore shows that the CPI method uses matching patterns and preserves the total energy of each gap while requiring only a moderate run-time.

* 8 pages, 7 figures, submitted to IEEE Transactions on Smart Grid, the first two authors equally contributed to this work 

Robust and Explainable Autoencoders for Unsupervised Time Series Outlier Detection---Extended Version

Apr 07, 2022
Tung Kieu, Bin Yang, Chenjuan Guo, Christian S. Jensen, Yan Zhao, Feiteng Huang, Kai Zheng

Time series data occurs widely, and outlier detection is a fundamental problem in data mining, which has numerous applications. Existing autoencoder-based approaches deliver state-of-the-art performance on challenging real-world data but are vulnerable to outliers and exhibit low explainability. To address these two limitations, we propose robust and explainable unsupervised autoencoder frameworks that decompose an input time series into a clean time series and an outlier time series using autoencoders. Improved explainability is achieved because clean time series are better explained with easy-to-understand patterns such as trends and periodicities. We provide insight into this by means of a post-hoc explainability analysis and empirical studies. In addition, since outliers are separated from clean time series iteratively, our approach offers improved robustness to outliers, which in turn improves accuracy. We evaluate our approach on five real-world datasets and report improvements over the state-of-the-art approaches in terms of robustness and explainability. This is an extended version of "Robust and Explainable Autoencoders for Unsupervised Time Series Outlier Detection", to appear in IEEE ICDE 2022.

* This paper has been accepted by IEEE ICDE 2022 

Time Series Data Augmentation for Deep Learning: A Survey

Feb 27, 2020
Qingsong Wen, Liang Sun, Xiaomin Song, Jingkun Gao, Xue Wang, Huan Xu

Deep learning performs remarkably well on many time series analysis tasks recently. The superior performance of deep neural networks relies heavily on a large number of training data to avoid overfitting. However, the labeled data of many real-world time series applications may be limited such as classification in medical time series and anomaly detection in AIOps. As an effective way to enhance the size and quality of the training data, data augmentation is crucial to the successful application of deep learning models on time series data. In this paper, we systematically review different data augmentation methods for time series. We propose a taxonomy for the reviewed methods, and then provide a structured review for these methods by highlighting their strengths and limitations. We also empirically compare different data augmentation methods for different tasks including time series anomaly detection, classification and forecasting. Finally, we discuss and highlight future research directions, including data augmentation in time-frequency domain, augmentation combination, and data augmentation and weighting for imbalanced class.

* 7 pages, 2 figures, 3 tables, 42 referred papers 

DTWSSE: Data Augmentation with a Siamese Encoder for Time Series

Aug 23, 2021
Xinyu Yang, Xinlan Zhang, Zhenguo Zhang, Yahui Zhao, Rongyi Cui

Access to labeled time series data is often limited in the real world, which constrains the performance of deep learning models in the field of time series analysis. Data augmentation is an effective way to solve the problem of small sample size and imbalance in time series datasets. The two key factors of data augmentation are the distance metric and the choice of interpolation method. SMOTE does not perform well on time series data because it uses a Euclidean distance metric and interpolates directly on the object. Therefore, we propose a DTW-based synthetic minority oversampling technique using siamese encoder for interpolation named DTWSSE. In order to reasonably measure the distance of the time series, DTW, which has been verified to be an effective method forts, is employed as the distance metric. To adapt the DTW metric, we use an autoencoder trained in an unsupervised self-training manner for interpolation. The encoder is a Siamese Neural Network for mapping the time series data from the DTW hidden space to the Euclidean deep feature space, and the decoder is used to map the deep feature space back to the DTW hidden space. We validate the proposed methods on a number of different balanced or unbalanced time series datasets. Experimental results show that the proposed method can lead to better performance of the downstream deep learning model.

* Accepted as full research paper in APWEB-WAIM 2021 

A Periodicity-based Parallel Time Series Prediction Algorithm in Cloud Computing Environments

Oct 17, 2018
Jianguo Chen, Kenli Li, Huigui Rong, Kashif Bilal, Keqin Li, Philip S. Yu

In the era of big data, practical applications in various domains continually generate large-scale time-series data. Among them, some data show significant or potential periodicity characteristics, such as meteorological and financial data. It is critical to efficiently identify the potential periodic patterns from massive time-series data and provide accurate predictions. In this paper, a Periodicity-based Parallel Time Series Prediction (PPTSP) algorithm for large-scale time-series data is proposed and implemented in the Apache Spark cloud computing environment. To effectively handle the massive historical datasets, a Time Series Data Compression and Abstraction (TSDCA) algorithm is presented, which can reduce the data scale as well as accurately extracting the characteristics. Based on this, we propose a Multi-layer Time Series Periodic Pattern Recognition (MTSPPR) algorithm using the Fourier Spectrum Analysis (FSA) method. In addition, a Periodicity-based Time Series Prediction (PTSP) algorithm is proposed. Data in the subsequent period are predicted based on all previous period models, in which a time attenuation factor is introduced to control the impact of different periods on the prediction results. Moreover, to improve the performance of the proposed algorithms, we propose a parallel solution on the Apache Spark platform, using the Streaming real-time computing module. To efficiently process the large-scale time-series datasets in distributed computing environments, Distributed Streams (DStreams) and Resilient Distributed Datasets (RDDs) are used to store and calculate these datasets. Extensive experimental results show that our PPTSP algorithm has significant advantages compared with other algorithms in terms of prediction accuracy and performance.


Joint Time-Vertex Fractional Fourier Transform

Mar 15, 2022
Bünyamin Kartal, Eray Özgünay, Aykut Koç

Graphs signal processing successfully captures high-dimensional data on non-Euclidean domains by using graph signals defined on graph vertices. However, data sources on each vertex can also continually provide time-series signals such that graph signals on each vertex are now time-series signals. Joint time-vertex Fourier transform (JFT) and the associated framework of time-vertex signal processing enable us to study such signals defined on joint time-vertex domains by providing spectral analysis. Just as the fractional Fourier transform (FRT) generalizes the ordinary Fourier transform (FT), we propose the joint time-vertex fractional Fourier transform (JFRT) as a generalization to the JFT. JFRT provides an additional fractional analysis tool for joint time-vertex processing by extending both temporal and vertex domain Fourier analysis to fractional orders. We theoretically show that the proposed JFRT generalizes the JFT and satisfies the properties of index additivity, reversibility, reduction to identity, and unitarity (for certain graph topologies). We provide theoretical derivations for JFRT-based denoising as well as computational cost analysis. Results of numerical experiments are also presented to demonstrate the benefits of JFRT.

* 12 pages, 6 figures