Traditional Time-series Anomaly Detection (TAD) methods often struggle with the composite nature of complex time-series data and a diverse array of anomalies. We introduce TADNet, an end-to-end TAD model that leverages Seasonal-Trend Decomposition to link various types of anomalies to specific decomposition components, thereby simplifying the analysis of complex time-series and enhancing detection performance. Our training methodology, which includes pre-training on a synthetic dataset followed by fine-tuning, strikes a balance between effective decomposition and precise anomaly detection. Experimental validation on real-world datasets confirms TADNet's state-of-the-art performance across a diverse range of anomalies.
Sequences of repeated gambles provide an experimental tool to characterize the risk preferences of humans or artificial decision-making agents. The difficulty of this inference depends on factors including the details of the gambles offered and the number of iterations of the game played. In this paper we explore in detail the practical challenges of inferring risk preferences from the observed choices of artificial agents who are presented with finite sequences of repeated gambles. We are motivated by the fact that the strategy to maximize long-run wealth for sequences of repeated additive gambles (where gains and losses are independent of current wealth) is different to the strategy for repeated multiplicative gambles (where gains and losses are proportional to current wealth.) Accurate measurement of risk preferences would be needed to tell whether an agent is employing the optimal strategy or not. To generalize the types of gambles our agents face we use the Yeo-Johnson transformation, a tool borrowed from feature engineering for time series analysis, to construct a family of gambles that interpolates smoothly between the additive and multiplicative cases. We then analyze the optimal strategy for this family, both analytically and numerically. We find that it becomes increasingly difficult to distinguish the risk preferences of agents as their wealth increases. This is because agents with different risk preferences eventually make the same decisions for sufficiently high wealth. We believe that these findings are informative for the effective design of experiments to measure risk preferences in humans.
In representation learning, regression has traditionally received less attention than classification. Directly applying representation learning techniques designed for classification to regression often results in fragmented representations in the latent space, yielding sub-optimal performance. In this paper, we argue that the potential of contrastive learning for regression has been overshadowed due to the neglect of two crucial aspects: ordinality-awareness and hardness. To address these challenges, we advocate "mixup your own contrastive pairs for supervised contrastive regression", instead of relying solely on real/augmented samples. Specifically, we propose Supervised Contrastive Learning for Regression with Mixup (SupReMix). It takes anchor-inclusive mixtures (mixup of the anchor and a distinct negative sample) as hard negative pairs and anchor-exclusive mixtures (mixup of two distinct negative samples) as hard positive pairs at the embedding level. This strategy formulates harder contrastive pairs by integrating richer ordinal information. Through extensive experiments on six regression datasets including 2D images, volumetric images, text, tabular data, and time-series signals, coupled with theoretical analysis, we demonstrate that SupReMix pre-training fosters continuous ordered representations of regression data, resulting in significant improvement in regression performance. Furthermore, SupReMix is superior to other approaches in a range of regression challenges including transfer learning, imbalanced training data, and scenarios with fewer training samples.
Time series are measured and analyzed across the sciences. One method of quantifying the structure of time series is by calculating a set of summary statistics or `features', and then representing a time series in terms of its properties as a feature vector. The resulting feature space is interpretable and informative, and enables conventional statistical learning approaches, including clustering, regression, and classification, to be applied to time-series datasets. Many open-source software packages for computing sets of time-series features exist across multiple programming languages, including catch22 (22 features: Matlab, R, Python, Julia), feasts (42 features: R), tsfeatures (63 features: R), Kats (40 features: Python), tsfresh (779 features: Python), and TSFEL (390 features: Python). However, there are several issues: (i) a singular access point to these packages is not currently available; (ii) to access all feature sets, users must be fluent in multiple languages; and (iii) these feature-extraction packages lack extensive accompanying methodological pipelines for performing feature-based time-series analysis, such as applications to time-series classification. Here we introduce a solution to these issues in an R software package called theft: Tools for Handling Extraction of Features from Time series. theft is a unified and extendable framework for computing features from the six open-source time-series feature sets listed above. It also includes a suite of functions for processing and interpreting the performance of extracted features, including extensive data-visualization templates, low-dimensional projections, and time-series classification operations. With an increasing volume and complexity of time-series datasets in the sciences and industry, theft provides a standardized framework for comprehensively quantifying and interpreting informative structure in time series.
In this paper we offer a review and bibliography of work on Hankel low-rank approximation and completion, with particular emphasis on how this methodology can be used for time series analysis and forecasting. We begin by describing possible formulations of the problem and offer commentary on related topics and challenges in obtaining globally optimal solutions. Key theorems are provided, and the paper closes with some expository examples.
Although the pre-training followed by fine-tuning paradigm is used extensively in many fields, there is still some controversy surrounding the impact of pre-training on the fine-tuning process. Currently, experimental findings based on text and image data lack consensus. To delve deeper into the unsupervised pre-training followed by fine-tuning paradigm, we have extended previous research to a new modality: time series. In this study, we conducted a thorough examination of 150 classification datasets derived from the Univariate Time Series (UTS) and Multivariate Time Series (MTS) benchmarks. Our analysis reveals several key conclusions. (i) Pre-training can only help improve the optimization process for models that fit the data poorly, rather than those that fit the data well. (ii) Pre-training does not exhibit the effect of regularization when given sufficient training time. (iii) Pre-training can only speed up convergence if the model has sufficient ability to fit the data. (iv) Adding more pre-training data does not improve generalization, but it can strengthen the advantage of pre-training on the original data volume, such as faster convergence. (v) While both the pre-training task and the model structure determine the effectiveness of the paradigm on a given dataset, the model structure plays a more significant role.
To understand the ability and limitations of convolutional neural networks to generate time series that mimic complex temporal signals, we trained a generative adversarial network consisting of deep convolutional networks to generate chaotic time series and used nonlinear time series analysis to evaluate the generated time series. A numerical measure of determinism and the Lyapunov exponent, a measure of trajectory instability, showed that the generated time series well reproduce the chaotic properties of the original time series. However, error distribution analyses showed that large errors appeared at a low but non-negligible rate. Such errors would not be expected if the distribution were assumed to be exponential.
Time series data are observations collected over time intervals. Successful analysis of time series data captures patterns such as trends, cyclicity and irregularity, which are crucial for decision making in research, business, and governance. However, missing values in time series data occur often and present obstacles to successful analysis, thus they need to be filled with alternative values, a process called imputation. Although various approaches have been attempted for robust imputation of time series data, even the most advanced methods still face challenges including limited scalability, poor capacity to handle heterogeneous data types and inflexibility due to requiring strong assumptions of data missing mechanisms. Moreover, the imputation accuracy of these methods still has room for improvement. In this study, I developed tsDataWig (time-series DataWig) by modifying DataWig, a neural network-based method that possesses the capacity to process large datasets and heterogeneous data types but was designed for non-time series data imputation. Unlike the original DataWig, tsDataWig can directly handle values of time variables and impute missing values in complex time series datasets. Using one simulated and three different complex real-world time series datasets, I demonstrated that tsDataWig outperforms the original DataWig and the current state-of-the-art methods for time series data imputation and potentially has broad application due to not requiring strong assumptions of data missing mechanisms. This study provides a valuable solution for robustly imputing missing values in challenging time series datasets, which often contain millions of samples, high dimensional variables, and heterogeneous data types.
Predicting the behavior of real-time traffic (e.g., VoIP) in mobility scenarios could help the operators to better plan their network infrastructures and to optimize the allocation of resources. Accordingly, in this work the authors propose a forecasting analysis of crucial QoS/QoE descriptors (some of which neglected in the technical literature) of VoIP traffic in a real mobile environment. The problem is formulated in terms of a multivariate time series analysis. Such a formalization allows to discover and model the temporal relationships among various descriptors and to forecast their behaviors for future periods. Techniques such as Vector Autoregressive models and machine learning (deep-based and tree-based) approaches are employed and compared in terms of performance and time complexity, by reframing the multivariate time series problem into a supervised learning one. Moreover, a series of auxiliary analyses (stationarity, orthogonal impulse responses, etc.) are performed to discover the analytical structure of the time series and to provide deep insights about their relationships. The whole theoretical analysis has an experimental counterpart since a set of trials across a real-world LTE-Advanced environment has been performed to collect, post-process and analyze about 600,000 voice packets, organized per flow and differentiated per codec.
Multivariate time series analysis is an important problem in data mining because of its widespread applications. With the increase of time series data available for training, implementing deep neural networks in the field of time series analysis is becoming common. Res2Net, a recently proposed backbone, can further improve the state-of-the-art networks as it improves the multi-scale representation ability through connecting different groups of filters. However, Res2Net ignores the correlations of the feature maps and lacks the control on the information interaction process. To address that problem, in this paper, we propose a backbone convolutional neural network based on the thought of gated mechanism and Res2Net, namely Gated Res2Net (GRes2Net), for multivariate time series analysis. The hierarchical residual-like connections are influenced by gates whose values are calculated based on the original feature maps, the previous output feature maps and the next input feature maps thus considering the correlations between the feature maps more effectively. Through the utilization of gated mechanism, the network can control the process of information sending hence can better capture and utilize the both the temporal information and the correlations between the feature maps. We evaluate the GRes2Net on four multivariate time series datasets including two classification datasets and two forecasting datasets. The results demonstrate that GRes2Net have better performances over the state-of-the-art methods thus indicating the superiority