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

Dynamic Natural Language Processing with Recurrence Quantification Analysis

Mar 19, 2018
Rick Dale, Nicholas D. Duran, Moreno Coco

Writing and reading are dynamic processes. As an author composes a text, a sequence of words is produced. This sequence is one that, the author hopes, causes a revisitation of certain thoughts and ideas in others. These processes of composition and revisitation by readers are ordered in time. This means that text itself can be investigated under the lens of dynamical systems. A common technique for analyzing the behavior of dynamical systems, known as recurrence quantification analysis (RQA), can be used as a method for analyzing sequential structure of text. RQA treats text as a sequential measurement, much like a time series, and can thus be seen as a kind of dynamic natural language processing (NLP). The extension has several benefits. Because it is part of a suite of time series analysis tools, many measures can be extracted in one common framework. Secondly, the measures have a close relationship with some commonly used measures from natural language processing. Finally, using recurrence analysis offers an opportunity expand analysis of text by developing theoretical descriptions derived from complex dynamic systems. We showcase an example analysis on 8,000 texts from the Gutenberg Project, compare it to well-known NLP approaches, and describe an R package (crqanlp) that can be used in conjunction with R library crqa.

  

Time Series Source Separation using Dynamic Mode Decomposition

Mar 04, 2019
Arvind Prasadan, Raj Rao Nadakuditi

The dynamic mode decomposition (DMD) extracted dynamic modes are the non-orthogonal eigenvectors of the matrix that best approximates the one-step temporal evolution of the multivariate samples. In the context of dynamic system analysis, the extracted dynamic modes are a generalization of global stability modes. We apply DMD to a data matrix whose rows are linearly independent, additive mixtures of latent time series. We show that when the latent time series are uncorrelated at a lag of one time-step then, in the large sample limit, the recovered dynamic modes will approximate, up to a column-wise normalization, the columns of the mixing matrix. Thus, DMD is a time series blind source separation algorithm in disguise, but is different from closely related second order algorithms such as SOBI and AMUSE. All can unmix mixed ergodic Gaussian time series in a way that ICA fundamentally cannot. We use our insights on single lag DMD to develop a higher-lag extension, analyze the finite sample performance with and without randomly missing data, and identify settings where the higher lag variant can outperform the conventional single lag variant. We validate our results with numerical simulations, and highlight how DMD can be used in change point detection.

  

Unsupervised Clustering of Time Series Signals using Neuromorphic Energy-Efficient Temporal Neural Networks

Feb 18, 2021
Shreyas Chaudhari, Harideep Nair, José M. F. Moura, John Paul Shen

Unsupervised time series clustering is a challenging problem with diverse industrial applications such as anomaly detection, bio-wearables, etc. These applications typically involve small, low-power devices on the edge that collect and process real-time sensory signals. State-of-the-art time-series clustering methods perform some form of loss minimization that is extremely computationally intensive from the perspective of edge devices. In this work, we propose a neuromorphic approach to unsupervised time series clustering based on Temporal Neural Networks that is capable of ultra low-power, continuous online learning. We demonstrate its clustering performance on a subset of UCR Time Series Archive datasets. Our results show that the proposed approach either outperforms or performs similarly to most of the existing algorithms while being far more amenable for efficient hardware implementation. Our hardware assessment analysis shows that in 7 nm CMOS the proposed architecture, on average, consumes only about 0.005 mm^2 die area and 22 uW power and can process each signal with about 5 ns latency.

* Accepted for publication at ICASSP 2021 
  

Fast and Accurate Time Series Classification with WEASEL

Jan 26, 2017
Patrick Schäfer, Ulf Leser

Time series (TS) occur in many scientific and commercial applications, ranging from earth surveillance to industry automation to the smart grids. An important type of TS analysis is classification, which can, for instance, improve energy load forecasting in smart grids by detecting the types of electronic devices based on their energy consumption profiles recorded by automatic sensors. Such sensor-driven applications are very often characterized by (a) very long TS and (b) very large TS datasets needing classification. However, current methods to time series classification (TSC) cannot cope with such data volumes at acceptable accuracy; they are either scalable but offer only inferior classification quality, or they achieve state-of-the-art classification quality but cannot scale to large data volumes. In this paper, we present WEASEL (Word ExtrAction for time SEries cLassification), a novel TSC method which is both scalable and accurate. Like other state-of-the-art TSC methods, WEASEL transforms time series into feature vectors, using a sliding-window approach, which are then analyzed through a machine learning classifier. The novelty of WEASEL lies in its specific method for deriving features, resulting in a much smaller yet much more discriminative feature set. On the popular UCR benchmark of 85 TS datasets, WEASEL is more accurate than the best current non-ensemble algorithms at orders-of-magnitude lower classification and training times, and it is almost as accurate as ensemble classifiers, whose computational complexity makes them inapplicable even for mid-size datasets. The outstanding robustness of WEASEL is also confirmed by experiments on two real smart grid datasets, where it out-of-the-box achieves almost the same accuracy as highly tuned, domain-specific methods.

* Proceedings of the 2017 ACM on Conference on Information and Knowledge Management (CIKM '17). ACM, 637-646 
  

Topological Data Analysis of Time Series Data for B2B Customer Relationshop Management

May 26, 2019
Rodrigo Rivera-Castro, Polina Pilyugina, Alexander Pletnev, Ivan Maksimov, Wanyi Wyz, Evgeny Burnaev

Topological Data Analysis (TDA) is a recent approach to analyze data sets from the perspective of their topological structure. Its use for time series data has been limited to the field of financial time series primarily and as a method for feature generation in machine learning applications. In this work, TDA is presented as a technique to gain additional understanding of the customers' loyalty for business-to-business customer relationship management. Increasing loyalty and strengthening relationships with key accounts remain an active topic of discussion both for researchers and managers. Using two public and two proprietary data sets of commercial data, this research shows that the technique enables analysts to better understand their customer base and identify prospective opportunities. In addition, the approach can be used as a clustering method to increase the accuracy of a predictive model for loyalty scoring. This work thus seeks to introduce TDA as a viable tool for data analysis to the quantitate marketing practitioner.

* Industrial Marketing & Purchasing Group Conference (IMP19), 2019 
* 9 pages, 2 figures, 1 table 
  

seq2graph: Discovering Dynamic Dependencies from Multivariate Time Series with Multi-level Attention

Dec 07, 2018
Xuan-Hong Dang, Syed Yousaf Shah, Petros Zerfos

Discovering temporal lagged and inter-dependencies in multivariate time series data is an important task. However, in many real-world applications, such as commercial cloud management, manufacturing predictive maintenance, and portfolios performance analysis, such dependencies can be non-linear and time-variant, which makes it more challenging to extract such dependencies through traditional methods such as Granger causality or clustering. In this work, we present a novel deep learning model that uses multiple layers of customized gated recurrent units (GRUs) for discovering both time lagged behaviors as well as inter-timeseries dependencies in the form of directed weighted graphs. We introduce a key component of Dual-purpose recurrent neural network that decodes information in the temporal domain to discover lagged dependencies within each time series, and encodes them into a set of vectors which, collected from all component time series, form the informative inputs to discover inter-dependencies. Though the discovery of two types of dependencies are separated at different hierarchical levels, they are tightly connected and jointly trained in an end-to-end manner. With this joint training, learning of one type of dependency immediately impacts the learning of the other one, leading to overall accurate dependencies discovery. We empirically test our model on synthetic time series data in which the exact form of (non-linear) dependencies is known. We also evaluate its performance on two real-world applications, (i) performance monitoring data from a commercial cloud provider, which exhibit highly dynamic, non-linear, and volatile behavior and, (ii) sensor data from a manufacturing plant. We further show how our approach is able to capture these dependency behaviors via intuitive and interpretable dependency graphs and use them to generate highly accurate forecasts.

  

Real-Time Prediction of BITCOIN Price using Machine Learning Techniques and Public Sentiment Analysis

Jun 18, 2020
S M Raju, Ali Mohammad Tarif

Bitcoin is the first digital decentralized cryptocurrency that has shown a significant increase in market capitalization in recent years. The objective of this paper is to determine the predictable price direction of Bitcoin in USD by machine learning techniques and sentiment analysis. Twitter and Reddit have attracted a great deal of attention from researchers to study public sentiment. We have applied sentiment analysis and supervised machine learning principles to the extracted tweets from Twitter and Reddit posts, and we analyze the correlation between bitcoin price movements and sentiments in tweets. We explored several algorithms of machine learning using supervised learning to develop a prediction model and provide informative analysis of future market prices. Due to the difficulty of evaluating the exact nature of a Time Series(ARIMA) model, it is often very difficult to produce appropriate forecasts. Then we continue to implement Recurrent Neural Networks (RNN) with long short-term memory cells (LSTM). Thus, we analyzed the time series model prediction of bitcoin prices with greater efficiency using long short-term memory (LSTM) techniques and compared the predictability of bitcoin price and sentiment analysis of bitcoin tweets to the standard method (ARIMA). The RMSE (Root-mean-square error) of LSTM are 198.448 (single feature) and 197.515 (multi-feature) whereas the ARIMA model RMSE is 209.263 which shows that LSTM with multi feature shows the more accurate result.

* 14 pages, 8 figures, 2 tables 
  

Markov Modeling of Time-Series Data using Symbolic Analysis

Mar 23, 2021
Devesh K. Jha

Markov models are often used to capture the temporal patterns of sequential data for statistical learning applications. While the Hidden Markov modeling-based learning mechanisms are well studied in literature, we analyze a symbolic-dynamics inspired approach. Under this umbrella, Markov modeling of time-series data consists of two major steps -- discretization of continuous attributes followed by estimating the size of temporal memory of the discretized sequence. These two steps are critical for the accurate and concise representation of time-series data in the discrete space. Discretization governs the information content of the resultant discretized sequence. On the other hand, memory estimation of the symbolic sequence helps to extract the predictive patterns in the discretized data. Clearly, the effectiveness of signal representation as a discrete Markov process depends on both these steps. In this paper, we will review the different techniques for discretization and memory estimation for discrete stochastic processes. In particular, we will focus on the individual problems of discretization and order estimation for discrete stochastic process. We will present some results from literature on partitioning from dynamical systems theory and order estimation using concepts of information theory and statistical learning. The paper also presents some related problem formulations which will be useful for machine learning and statistical learning application using the symbolic framework of data analysis. We present some results of statistical analysis of a complex thermoacoustic instability phenomenon during lean-premixed combustion in jet-turbine engines using the proposed Markov modeling method.

  

Prediction of gene expression time series and structural analysis of gene regulatory networks using recurrent neural networks

Sep 13, 2021
Michele Monti, Jonathan Fiorentino, Edoardo Milanetti, Giorgio Gosti, Gian Gaetano Tartaglia

Methods for time series prediction and classification of gene regulatory networks (GRNs) from gene expression data have been treated separately so far. The recent emergence of attention-based recurrent neural networks (RNN) models boosted the interpretability of RNN parameters, making them appealing for the understanding of gene interactions. In this work, we generated synthetic time series gene expression data from a range of archetypal GRNs and we relied on a dual attention RNN to predict the gene temporal dynamics. We show that the prediction is extremely accurate for GRNs with different architectures. Next, we focused on the attention mechanism of the RNN and, using tools from graph theory, we found that its graph properties allow to hierarchically distinguish different architectures of the GRN. We show that the GRNs respond differently to the addition of noise in the prediction by the RNN and we relate the noise response to the analysis of the attention mechanism. In conclusion, this work provides a a way to understand and exploit the attention mechanism of RNN and it paves the way to RNN-based methods for time series prediction and inference of GRNs from gene expression data.

* 17 pages, 6 figures 
  

Detecting and Explaining Causes From Text For a Time Series Event

Jul 27, 2017
Dongyeop Kang, Varun Gangal, Ang Lu, Zheng Chen, Eduard Hovy

Explaining underlying causes or effects about events is a challenging but valuable task. We define a novel problem of generating explanations of a time series event by (1) searching cause and effect relationships of the time series with textual data and (2) constructing a connecting chain between them to generate an explanation. To detect causal features from text, we propose a novel method based on the Granger causality of time series between features extracted from text such as N-grams, topics, sentiments, and their composition. The generation of the sequence of causal entities requires a commonsense causative knowledge base with efficient reasoning. To ensure good interpretability and appropriate lexical usage we combine symbolic and neural representations, using a neural reasoning algorithm trained on commonsense causal tuples to predict the next cause step. Our quantitative and human analysis show empirical evidence that our method successfully extracts meaningful causality relationships between time series with textual features and generates appropriate explanation between them.

* Accepted at EMNLP 2017 
  
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