Hydrological storm events are a primary driver for transporting water quality constituents such as turbidity, suspended sediments and nutrients. Analyzing the concentration (C) of these water quality constituents in response to increased streamflow discharge (Q), particularly when monitored at high temporal resolution during a hydrological event, helps to characterize the dynamics and flux of such constituents. A conventional approach to storm event analysis is to reduce the C-Q time series to two-dimensional (2-D) hysteresis loops and analyze these 2-D patterns. While effective and informative to some extent, this hysteresis loop approach has limitations because projecting the C-Q time series onto a 2-D plane obscures detail (e.g., temporal variation) associated with the C-Q relationships. In this paper, we address this issue using a multivariate time series clustering approach. Clustering is applied to sequences of river discharge and suspended sediment data (acquired through turbidity-based monitoring) from six watersheds located in the Lake Champlain Basin in the northeastern United States. While clusters of the hydrological storm events using the multivariate time series approach were found to be correlated to 2-D hysteresis loop classifications and watershed locations, the clusters differed from the 2-D hysteresis classifications. Additionally, using available meteorological data associated with storm events, we examine the characteristics of computational clusters of storm events in the study watersheds and identify the features driving the clustering approach.
Coronavirus disease 2019 (COVID-19) is a global public health crisis that has been declared a pandemic by World Health Organization. Forecasting country-wise COVID-19 cases is necessary to help policymakers and healthcare providers prepare for the future. This study explores the performance of several Long Short-Term Memory (LSTM) models and Auto-Regressive Integrated Moving Average (ARIMA) model in forecasting the number of confirmed COVID-19 cases. Time series of daily cumulative COVID-19 cases were used for generating 1-day, 3-day, and 5-day forecasts using several LSTM models and ARIMA. Two novel k-period performance metrics - k-day Mean Absolute Percentage Error (kMAPE) and k-day Median Symmetric Accuracy (kMdSA) - were developed for evaluating the performance of the models in forecasting time series values for multiple days. Errors in prediction using kMAPE and kMdSA for LSTM models were both as low as 0.05%, while those for ARIMA were 0.07% and 0.06% respectively. LSTM models slightly underestimated while ARIMA slightly overestimated the numbers in the forecasts. The performance of LSTM models is comparable to ARIMA in forecasting COVID-19 cases. While ARIMA requires longer sequences, LSTMs can perform reasonably well with sequence sizes as small as 3. However, LSTMs require a large number of training samples. Further, the development of k-period performance metrics proposed is likely to be useful for performance evaluation of time series models in predicting multiple periods. Based on the k-period performance metrics proposed, both LSTMs and ARIMA are useful for time series analysis and forecasting for COVID-19.
Granger causality method analyzes the time series causalities without building a complex causality graph. However, the traditional Granger causality method assumes that the causalities lie between time series channels and remain constant, which cannot model the real-world time series data with dynamic causalities along the time series channels. In this paper, we present the dynamic window-level Granger causality method (DWGC) for multi-channel time series data. We build the causality model on the window-level by doing the F-test with the forecasting errors on the sliding windows. We propose the causality indexing trick in our DWGC method to reweight the original time series data. Essentially, the causality indexing is to decrease the auto-correlation and increase the cross-correlation causal effects, which improves the DWGC method. Theoretical analysis and experimental results on two synthetic and one real-world datasets show that the improved DWGC method with causality indexing better detects the window-level causalities.
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution based Legendre Polynomial (LP) like nonlinear transformations of the original time series Y(t) that enables us to adapt all the existing stationary linear Gaussian time series modeling strategy and made it applicable for non-Gaussian and nonlinear processes in a robust fashion. The emphasis of the present paper is on empirical time series modeling via the algorithm LPTime. We demonstrate the effectiveness of our theoretical framework using daily S&P 500 return data between Jan/2/1963 - Dec/31/2009. Our proposed LPTime algorithm systematically discovers all the `stylized facts' of the financial time series automatically all at once, which were previously noted by many researchers one at a time.
Time series forecasting is a relevant task that is performed in several real-world scenarios such as product sales analysis and prediction of energy demand. Given their accuracy performance, currently, Recurrent Neural Networks (RNNs) are the models of choice for this task. Despite their success in time series forecasting, less attention has been paid to make the RNNs trustworthy. For example, RNNs can not naturally provide an uncertainty measure to their predictions. This could be extremely useful in practice in several cases e.g. to detect when a prediction might be completely wrong due to an unusual pattern in the time series. Whittle Sum-Product Networks (WSPNs), prominent deep tractable probabilistic circuits (PCs) for time series, can assist an RNN with providing meaningful probabilities as uncertainty measure. With this aim, we propose RECOWN, a novel architecture that employs RNNs and a discriminant variant of WSPNs called Conditional WSPNs (CWSPNs). We also formulate a Log-Likelihood Ratio Score as better estimation of uncertainty that is tailored to time series and Whittle likelihoods. In our experiments, we show that RECOWNs are accurate and trustworthy time series predictors, able to "know when they do not know".
Automatic analysis of biomedical time series such as electroencephalogram (EEG) and electrocardiographic (ECG) signals has attracted great interest in the community of biomedical engineering due to its important applications in medicine. In this work, a simple yet effective bag-of-words representation that is able to capture both local and global structure similarity information is proposed for biomedical time series representation. In particular, similar to the bag-of-words model used in text document domain, the proposed method treats a time series as a text document and extracts local segments from the time series as words. The biomedical time series is then represented as a histogram of codewords, each entry of which is the count of a codeword appeared in the time series. Although the temporal order of the local segments is ignored, the bag-of-words representation is able to capture high-level structural information because both local and global structural information are well utilized. The performance of the bag-of-words model is validated on three datasets extracted from real EEG and ECG signals. The experimental results demonstrate that the proposed method is not only insensitive to parameters of the bag-of-words model such as local segment length and codebook size, but also robust to noise.
SOTA Transformer and DNN short text sentiment classifiers report over 97% accuracy on narrow domains like IMDB movie reviews. Real-world performance is significantly lower because traditional models overfit benchmarks and generalize poorly to different or more open domain texts. This paper introduces SentimentArcs, a new self-supervised time series sentiment analysis methodology that addresses the two main limitations of traditional supervised sentiment analysis: limited labeled training datasets and poor generalization. A large ensemble of diverse models provides a synthetic ground truth for self-supervised learning. Novel metrics jointly optimize an exhaustive search across every possible corpus:model combination. The joint optimization over both the corpus and model solves the generalization problem. Simple visualizations exploit the temporal structure in narratives so domain experts can quickly spot trends, identify key features, and note anomalies over hundreds of arcs and millions of data points. To our knowledge, this is the first self-supervised method for time series sentiment analysis and the largest survey directly comparing real-world model performance on long-form narratives.
Time series and signals are attracting more attention across statistics, machine learning and pattern recognition as it appears widely in the industry especially in sensor and IoT related research and applications, but few advances has been achieved in effective time series visual analytics and interaction due to its temporal dimensionality and complex dynamics. Inspired by recent effort on using network metrics to characterize time series for classification, we present an approach to visualize time series as complex networks based on the first order Markov process in its temporal ordering. In contrast to the classical bar charts, line plots and other statistics based graph, our approach delivers more intuitive visualization that better preserves both the temporal dependency and frequency structures. It provides a natural inverse operation to map the graph back to raw signals, making it possible to use graph statistics to characterize time series for better visual exploration and statistical analysis. Our experimental results suggest the effectiveness on various tasks such as pattern discovery and classification on both synthetic and the real time series and sensor data.
Electroencephalogram (EEG) is a common tool used to understand brain activities. The data are typically obtained by placing electrodes at the surface of the scalp and recording the oscillations of currents passing through the electrodes. These oscillations can sometimes lead to various interpretations, depending on the subject's health condition, the experiment carried out, the sensitivity of the tools used, human manipulations etc. The data obtained over time can be considered a time series. There is evidence in the literature that epilepsy EEG data may be chaotic. Either way, the embedding theory in dynamical systems suggests that time series from a complex system could be used to reconstruct its phase space under proper conditions. In this paper, we propose an analysis of epilepsy electroencephalogram time series data based on a novel approach dubbed complex geometric structurization. Complex geometric structurization stems from the construction of strange attractors using embedding theory from dynamical systems. The complex geometric structures are themselves obtained using a geometry tool, namely the $\alpha$-shapes from shape analysis. Initial analyses show a proof of concept in that these complex structures capture the expected changes brain in lobes under consideration. Further, a deeper analysis suggests that these complex structures can be used as biomarkers for seizure changes.
In this paper, we propose a novel data-driven approach for removing trends (detrending) from nonstationary, fractal and multifractal time series. We consider real-valued time series relative to measurements of an underlying dynamical system that evolves through time. We assume that such a dynamical process is predictable to a certain degree by means of a class of recurrent networks called Echo State Network (ESN), which are capable to model a generic dynamical process. In order to isolate the superimposed (multi)fractal component of interest, we define a data-driven filter by leveraging on the ESN prediction capability to identify the trend component of a given input time series. Specifically, the (estimated) trend is removed from the original time series and the residual signal is analyzed with the multifractal detrended fluctuation analysis procedure to verify the correctness of the detrending procedure. In order to demonstrate the effectiveness of the proposed technique, we consider several synthetic time series consisting of different types of trends and fractal noise components with known characteristics. We also process a real-world dataset, the sunspot time series, which is well-known for its multifractal features and has recently gained attention in the complex systems field. Results demonstrate the validity and generality of the proposed detrending method based on ESNs.
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