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

Bag of Recurrence Patterns Representation for Time-Series Classification

Mar 29, 2018
Nima Hatami, Yann Gavet, Johan Debayle

Time-Series Classification (TSC) has attracted a lot of attention in pattern recognition, because wide range of applications from different domains such as finance and health informatics deal with time-series signals. Bag of Features (BoF) model has achieved a great success in TSC task by summarizing signals according to the frequencies of "feature words" of a data-learned dictionary. This paper proposes embedding the Recurrence Plots (RP), a visualization technique for analysis of dynamic systems, in the BoF model for TSC. While the traditional BoF approach extracts features from 1D signal segments, this paper uses the RP to transform time-series into 2D texture images and then applies the BoF on them. Image representation of time-series enables us to explore different visual descriptors that are not available for 1D signals and to treats TSC task as a texture recognition problem. Experimental results on the UCI time-series classification archive demonstrates a significant accuracy boost by the proposed Bag of Recurrence patterns (BoR), compared not only to the existing BoF models, but also to the state-of-the art algorithms.

* Pattern Analysis and Applications Journal, 2018 
  

Equivalence relations and $L^p$ distances between time series

Feb 07, 2020
Nick James, Max Menzies

We introduce a general framework for defining equivalence and measuring distances between time series, and a first concrete method for doing so. We prove the existence of equivalence relations on the space of time series, such that the quotient spaces can be equipped with a metrizable topology. We illustrate algorithmically how to calculate such distances among a collection of time series, and perform clustering analysis based on these distances. We apply these insights to analyse the recent bushfires in NSW, Australia. There, we introduce a new method to analyse time series in a cross-contextual setting.

* Equal contribution 
  

Anomaly Detection in Time Series with Triadic Motif Fields and Application in Atrial Fibrillation ECG Classification

Dec 09, 2020
Yadong Zhang, Xin Chen

In the time-series analysis, the time series motifs and the order patterns in time series can reveal general temporal patterns and dynamic features. Triadic Motif Field (TMF) is a simple and effective time-series image encoding method based on triadic time series motifs. Electrocardiography (ECG) signals are time-series data widely used to diagnose various cardiac anomalies. The TMF images contain the features characterizing the normal and Atrial Fibrillation (AF) ECG signals. Considering the quasi-periodic characteristics of ECG signals, the dynamic features can be extracted from the TMF images with the transfer learning pre-trained convolutional neural network (CNN) models. With the extracted features, the simple classifiers, such as the Multi-Layer Perceptron (MLP), the logistic regression, and the random forest, can be applied for accurate anomaly detection. With the test dataset of the PhysioNet Challenge 2017 database, the TMF classification model with the VGG16 transfer learning model and MLP classifier demonstrates the best performance with the 95.50% ROC-AUC and 88.43% F1 score in the AF classification. Besides, the TMF classification model can identify AF patients in the test dataset with high precision. The feature vectors extracted from the TMF images show clear patient-wise clustering with the t-distributed Stochastic Neighbor Embedding technique. Above all, the TMF classification model has very good clinical interpretability. The patterns revealed by symmetrized Gradient-weighted Class Activation Mapping have a clear clinical interpretation at the beat and rhythm levels.

  

Path Signature Area-Based Causal Discovery in Coupled Time Series

Oct 23, 2021
Will Glad, Thomas Woolf

Coupled dynamical systems are frequently observed in nature, but often not well understood in terms of their causal structure without additional domain knowledge about the system. Especially when analyzing observational time series data of dynamical systems where it is not possible to conduct controlled experiments, for example time series of climate variables, it can be challenging to determine how features causally influence each other. There are many techniques available to recover causal relationships from data, such as Granger causality, convergent cross mapping, and causal graph structure learning approaches such as PCMCI. Path signatures and their associated signed areas provide a new way to approach the analysis of causally linked dynamical systems, particularly in informing a model-free, data-driven approach to algorithmic causal discovery. With this paper, we explore the use of path signatures in causal discovery and propose the application of confidence sequences to analyze the significance of the magnitude of the signed area between two variables. These confidence sequence regions converge with greater sampling length, and in conjunction with analyzing pairwise signed areas across time-shifted versions of the time series, can help identify the presence of lag/lead causal relationships. This approach provides a new way to define the confidence of a causal link existing between two time series, and ultimately may provide a framework for hypothesis testing to define whether one time series causes another

  

Benchmarking time series classification -- Functional data vs machine learning approaches

Nov 18, 2019
Florian Pfisterer, Laura Beggel, Xudong Sun, Fabian Scheipl, Bernd Bischl

Time series classification problems have drawn increasing attention in the machine learning and statistical community. Closely related is the field of functional data analysis (FDA): it refers to the range of problems that deal with the analysis of data that is continuously indexed over some domain. While often employing different methods, both fields strive to answer similar questions, a common example being classification or regression problems with functional covariates. We study methods from functional data analysis, such as functional generalized additive models, as well as functionality to concatenate (functional-) feature extraction or basis representations with traditional machine learning algorithms like support vector machines or classification trees. In order to assess the methods and implementations, we run a benchmark on a wide variety of representative (time series) data sets, with in-depth analysis of empirical results, and strive to provide a reference ranking for which method(s) to use for non-expert practitioners. Additionally, we provide a software framework in R for functional data analysis for supervised learning, including machine learning and more linear approaches from statistics. This allows convenient access, and in connection with the machine-learning toolbox mlr, those methods can now also be tuned and benchmarked.

  

A novel method of fuzzy time series forecasting based on interval index number and membership value using support vector machine

Oct 20, 2020
Kiran Bisht, Arun Kumar

Fuzzy time series forecasting methods are very popular among researchers for predicting future values as they are not based on the strict assumptions of traditional time series forecasting methods. Non-stochastic methods of fuzzy time series forecasting are preferred by the researchers as they provide more significant forecasting results. There are generally, four factors that determine the performance of the forecasting method (1) number of intervals (NOIs) and length of intervals to partition universe of discourse (UOD) (2) fuzzification rules or feature representation of crisp time series (3) method of establishing fuzzy logic rule (FLRs) between input and target values (4) defuzzification rule to get crisp forecasted value. Considering the first two factors to improve the forecasting accuracy, we proposed a novel non-stochastic method fuzzy time series forecasting in which interval index number and membership value are used as input features to predict future value. We suggested a simple rounding-off range and suitable step size method to find the optimal number of intervals (NOIs) and used fuzzy c-means clustering process to divide UOD into intervals of unequal length. We implement support vector machine (SVM) to establish FLRs. To test our proposed method we conduct a simulated study on five widely used real time series and compare the performance with some recently developed models. We also examine the performance of the proposed model by using multi-layer perceptron (MLP) instead of SVM. Two performance measures RSME and SMAPE are used for performance analysis and observed better forecasting accuracy by the proposed model.

  

Self-Attention for Raw Optical Satellite Time Series Classification

Oct 23, 2019
Marc Rußwurm, Marco Körner

Deep learning methods have received increasing interest by the remote sensing community for multi-temporal land cover classification in recent years. Convolutional Neural networks that elementwise compare a time series with learned kernels, and recurrent neural networks that sequentially process temporal data have dominated the state-of-the-art in the classification of vegetation from satellite time series. Self-attention allows a neural network to selectively extract features from specific times in the input sequence thus suppressing non-classification relevant information. Today, self-attention based neural networks dominate the state-of-the-art in natural language processing but are hardly explored and tested in the remote sensing context. In this work, we embed self-attention in the canon of deep learning mechanisms for satellite time series classification for vegetation modeling and crop type identification. We compare it quantitatively to convolution, and recurrence and test four models that each exclusively relies on one of these mechanisms. The models are trained to identify the type of vegetation on crop parcels using raw and preprocessed Sentinel 2 time series over one entire year. To obtain an objective measure we find the best possible performance for each of the models by a large-scale hyperparameter search with more than 2400 validation runs. Beyond the quantitative comparison, we qualitatively analyze the models by an easy-to-implement, but yet effective feature importance analysis based on gradient back-propagation that exploits the differentiable nature of deep learning models. Finally, we look into the self-attention transformer model and visualize attention scores as bipartite graphs in the context of the input time series and a low-dimensional representation of internal hidden states using t-distributed stochastic neighborhood embedding (t-SNE).

  

Nonlinear Time Series Classification Using Bispectrum-based Deep Convolutional Neural Networks

Mar 04, 2020
Paul A. Parker, Scott H. Holan, Nalini Ravishanker

Time series classification using novel techniques has experienced a recent resurgence and growing interest from statisticians, subject-domain scientists, and decision makers in business and industry. This is primarily due to the ever increasing amount of big and complex data produced as a result of technological advances. A motivating example is that of Google trends data, which exhibit highly nonlinear behavior. Although a rich literature exists for addressing this problem, existing approaches mostly rely on first and second order properties of the time series, since they typically assume linearity of the underlying process. Often, these are inadequate for effective classification of nonlinear time series data such as Google Trends data. Given these methodological deficiencies and the abundance of nonlinear time series that persist among real-world phenomena, we introduce an approach that merges higher order spectral analysis (HOSA) with deep convolutional neural networks (CNNs) for classifying time series. The effectiveness of our approach is illustrated using simulated data and two motivating industry examples that involve Google trends data and electronic device energy consumption data.

  

ASAT: Adaptively Scaled Adversarial Training in Time Series

Aug 20, 2021
Zhiyuan Zhang, Wei Li, Ruihan Bao, Keiko Harimoto, Yunfang Wu, Xu Sun

Adversarial training is a method for enhancing neural networks to improve the robustness against adversarial examples. Besides the security concerns of potential adversarial examples, adversarial training can also improve the performance of the neural networks, train robust neural networks, and provide interpretability for neural networks. In this work, we take the first step to introduce adversarial training in time series analysis by taking the finance field as an example. Rethinking existing researches of adversarial training, we propose the adaptively scaled adversarial training (ASAT) in time series analysis, by treating data at different time slots with time-dependent importance weights. Experimental results show that the proposed ASAT can improve both the accuracy and the adversarial robustness of neural networks. Besides enhancing neural networks, we also propose the dimension-wise adversarial sensitivity indicator to probe the sensitivities and importance of input dimensions. With the proposed indicator, we can explain the decision bases of black box neural networks.

* Accepted to be appeared in Workshop on Machine Learning in Finance (KDD-MLF) 2021 
  

The Canonical Interval Forest (CIF) Classifier for Time Series Classification

Aug 20, 2020
Matthew Middlehurst, James Large, Anthony Bagnall

Time series classification (TSC) is home to a number of algorithm groups that utilise different kinds of discriminatory patterns. One of these groups describes classifiers that predict using phase dependant intervals. The time series forest (TSF) classifier is one of the most well known interval methods, and has demonstrated strong performance as well as relative speed in training and predictions. However, recent advances in other approaches have left TSF behind. TSF originally summarises intervals using three simple summary statistics. The `catch22' feature set of 22 time series features was recently proposed to aid time series analysis through a concise set of diverse and informative descriptive characteristics. We propose combining TSF and catch22 to form a new classifier, the Canonical Interval Forest (CIF). We outline additional enhancements to the training procedure, and extend the classifier to include multivariate classification capabilities. We demonstrate a large and significant improvement in accuracy over both TSF and catch22, and show it to be on par with top performers from other algorithmic classes. By upgrading the interval-based component from TSF to CIF, we also demonstrate a significant improvement in the hierarchical vote collective of transformation-based ensembles (HIVE-COTE) that combines different time series representations. HIVE-COTE using CIF is significantly more accurate on the UCR archive than any other classifier we are aware of and represents a new state of the art for TSC.

  
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