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

Similarity Preserving Representation Learning for Time Series Analysis

Mar 09, 2017
Qi Lei, Jinfeng Yi, Roman Vaculin, Lingfei Wu, Inderjit S. Dhillon

A considerable amount of machine learning algorithms take instance-feature matrices as their inputs. As such, they cannot directly analyze time series data due to its temporal nature, usually unequal lengths, and complex properties. This is a great pity since many of these algorithms are effective, robust, efficient, and easy to use. In this paper, we bridge this gap by proposing an efficient representation learning framework that is able to convert a set of time series with equal or unequal lengths to a matrix format. In particular, we guarantee that the pairwise similarities between time series are well preserved after the transformation. The learned feature representation is particularly suitable to the class of learning problems that are sensitive to data similarities. Given a set of $n$ time series, we first construct an $n\times n$ partially observed similarity matrix by randomly sampling $O(n \log n)$ pairs of time series and computing their pairwise similarities. We then propose an extremely efficient algorithm that solves a highly non-convex and NP-hard problem to learn new features based on the partially observed similarity matrix. We use the learned features to conduct experiments on both data classification and clustering tasks. Our extensive experimental results demonstrate that the proposed framework is both effective and efficient.


An analysis of deep neural networks for predicting trends in time series data

Sep 16, 2020
Kouame Hermann Kouassi, Deshendran Moodley

The emergence of small and portable smart sensors have opened up new opportunities for many applications, including automated factories, smart cities and connected healthcare, broadly referred to as the "Internet of Things (IoT)". These devices produce time series data. While deep neural networks (DNNs) has been widely applied to computer vision, natural language processing and speech recognition, there is limited research on DNNs for time series prediction. Machine learning (ML) applications for time series prediction has traditionally involved predicting the next value in the series. However, in certain applications, segmenting the time series into a sequence of trends and predicting the next trend is preferred. Recently, a hybrid DNN algorithm, TreNet was proposed for trend prediction. TreNet, which combines an LSTM that takes in trendlines and a CNN that takes in point data was shown to have superior performance for trend prediction when compared to other approaches. However, the study used a standard cross-validation method which does not take into account the sequential nature of time series. In this work, we reproduce TreNet using a walk-forward validation method, which is more appropriate to time series data. We compare the performance of the hybrid TreNet algorithm, on the same three data sets used in the original study, to vanilla MLP, LSTM, and CNN that take in point data, and also to traditional ML algorithms, i.e. the Random Forest (RF), Support Vector Regression and Gradient Boosting Machine. Our results differ significantly from those reported for the original TreNet. In general TreNet still performs better than the vanilla DNN models, but not substantially so as reported for the original TreNet. Furthermore, our results show that the RF algorithm performed substantially better than TreNet on the methane data set.


Product Reservoir Computing: Time-Series Computation with Multiplicative Neurons

Apr 26, 2015
Alireza Goudarzi, Alireza Shabani, Darko Stefanovic

Echo state networks (ESN), a type of reservoir computing (RC) architecture, are efficient and accurate artificial neural systems for time series processing and learning. An ESN consists of a core of recurrent neural networks, called a reservoir, with a small number of tunable parameters to generate a high-dimensional representation of an input, and a readout layer which is easily trained using regression to produce a desired output from the reservoir states. Certain computational tasks involve real-time calculation of high-order time correlations, which requires nonlinear transformation either in the reservoir or the readout layer. Traditional ESN employs a reservoir with sigmoid or tanh function neurons. In contrast, some types of biological neurons obey response curves that can be described as a product unit rather than a sum and threshold. Inspired by this class of neurons, we introduce a RC architecture with a reservoir of product nodes for time series computation. We find that the product RC shows many properties of standard ESN such as short-term memory and nonlinear capacity. On standard benchmarks for chaotic prediction tasks, the product RC maintains the performance of a standard nonlinear ESN while being more amenable to mathematical analysis. Our study provides evidence that such networks are powerful in highly nonlinear tasks owing to high-order statistics generated by the recurrent product node reservoir.


Building Models for Biopathway Dynamics Using Intrinsic Dimensionality Analysis

Nov 03, 2018
Emilia M. Wysocka, Valery Dzutsati, Tirthankar Bandyopadhyay, Laura Condon, Sahil Garg

An important task for many if not all the scientific domains is efficient knowledge integration, testing and codification. It is often solved with model construction in a controllable computational environment. In spite of that, the throughput of in-silico simulation-based observations become similarly intractable for thorough analysis. This is especially the case in molecular biology, which served as a subject for this study. In this project, we aimed to test some approaches developed to deal with the curse of dimensionality. Among these we found dimension reduction techniques especially appealing. They can be used to identify irrelevant variability and help to understand critical processes underlying high-dimensional datasets. Additionally, we subjected our data sets to nonlinear time series analysis, as those are well established methods for results comparison. To investigate the usefulness of dimension reduction methods, we decided to base our study on a concrete sample set. The example was taken from the domain of systems biology concerning dynamic evolution of sub-cellular signaling. Particularly, the dataset relates to the yeast pheromone pathway and is studied in-silico with a stochastic model. The model reconstructs signal propagation stimulated by a mating pheromone. In the paper, we elaborate on the reason of multidimensional analysis problem in the context of molecular signaling, and next, we introduce the model of choice, simulation details and obtained time series dynamics. A description of used methods followed by a discussion of results and their biological interpretation finalize the paper.

* Presented in Santa Fe Complex Systems Summer School (CSSS) 2015 

Investigating echo state networks dynamics by means of recurrence analysis

Apr 24, 2016
Filippo Maria Bianchi, Lorenzo Livi, Cesare Alippi

In this paper, we elaborate over the well-known interpretability issue in echo state networks. The idea is to investigate the dynamics of reservoir neurons with time-series analysis techniques taken from research on complex systems. Notably, we analyze time-series of neuron activations with Recurrence Plots (RPs) and Recurrence Quantification Analysis (RQA), which permit to visualize and characterize high-dimensional dynamical systems. We show that this approach is useful in a number of ways. First, the two-dimensional representation offered by RPs provides a way for visualizing the high-dimensional dynamics of a reservoir. Our results suggest that, if the network is stable, reservoir and input denote similar line patterns in the respective RPs. Conversely, the more unstable the ESN, the more the RP of the reservoir presents instability patterns. As a second result, we show that the $\mathrm{L_{max}}$ measure is highly correlated with the well-established maximal local Lyapunov exponent. This suggests that complexity measures based on RP diagonal lines distribution provide a valuable tool to quantify the degree of network stability. Finally, our analysis shows that all RQA measures fluctuate on the proximity of the so-called edge of stability, where an ESN typically achieves maximum computational capability. We verify that the determination of the edge of stability provided by such RQA measures is more accurate than two well-known criteria based on the Jacobian matrix of the reservoir. Therefore, we claim that RPs and RQA-based analyses can be used as valuable tools to design an effective network given a specific problem.

* Revised version. 24 pages; 12 figures 

Phenotyping OSA: a time series analysis using fuzzy clustering and persistent homology

Apr 27, 2021
Prachi Loliencar, Giseon Heo

Sleep apnea is a disorder that has serious consequences for the pediatric population. There has been recent concern that traditional diagnosis of the disorder using the apnea-hypopnea index may be ineffective in capturing its multi-faceted outcomes. In this work, we take a first step in addressing this issue by phenotyping patients using a clustering analysis of airflow time series. This is approached in three ways: using feature-based fuzzy clustering in the time and frequency domains, and using persistent homology to study the signal from a topological perspective. The fuzzy clusters are analyzed in a novel manner using a Dirichlet regression analysis, while the topological approach leverages Takens embedding theorem to study the periodicity properties of the signals.


Loss-analysis via Attention-scale for Physiologic Time Series

Nov 08, 2020
Jiawei Yang, Jeffrey M. Hausdorff

Physiologic signals have properties across multiple spatial and temporal scales, which can be shown by the complexity-analysis of the coarse-grained physiologic signals by scaling techniques such as the multiscale. Unfortunately, the results obtained from the coarse-grained signals by the multiscale may not fully reflect the properties of the original signals because there is a loss caused by scaling techniques and the same scaling technique may bring different losses to different signals. Another problem is that multiscale does not consider the key observations inherent in the signal. Here, we show a new analysis method for time series called the loss-analysis via attention-scale. We show that multiscale is a special case of attention-scale. The loss-analysis can complement to the complexity-analysis to capture aspects of the signals that are not captured using previously developed measures. This can be used to study ageing, diseases, and other physiologic phenomenon.


Dynamic Principal Component Analysis: Identifying the Relationship between Multiple Air Pollutants

Aug 10, 2016
Oleg Melnikov, Loren H. Raun, Katherine B. Ensor

The dynamic nature of air quality chemistry and transport makes it difficult to identify the mixture of air pollutants for a region. In this study of air quality in the Houston metropolitan area we apply dynamic principal component analysis (DPCA) to a normalized multivariate time series of daily concentration measurements of five pollutants (O3, CO, NO2, SO2, PM2.5) from January 1, 2009 through December 31, 2011 for each of the 24 hours in a day. The resulting dynamic components are examined by hour across days for the 3 year period. Diurnal and seasonal patterns are revealed underlining times when DPCA performs best and two principal components (PCs) explain most variability in the multivariate series. DPCA is shown to be superior to static principal component analysis (PCA) in discovery of linear relations among transformed pollutant measurements. DPCA captures the time-dependent correlation structure of the underlying pollutants recorded at up to 34 monitoring sites in the region. In winter mornings the first principal component (PC1) (mainly CO and NO2) explains up to 70% of variability. Augmenting with the second principal component (PC2) (mainly driven by SO2) the explained variability rises to 90%. In the afternoon, O3 gains prominence in the second principal component. The seasonal profile of PCs' contribution to variance loses its distinction in the afternoon, yet cumulatively PC1 and PC2 still explain up to 65% of variability in ambient air data. DPCA provides a strategy for identifying the changing air quality profile for the region studied.


ECG synthesis with Neural ODE and GAN models

Oct 30, 2021
Mansura Habiba, Eoin Borphy, Barak A. Pearlmutter, Tomas Ward

Continuous medical time series data such as ECG is one of the most complex time series due to its dynamic and high dimensional characteristics. In addition, due to its sensitive nature, privacy concerns and legal restrictions, it is often even complex to use actual data for different medical research. As a result, generating continuous medical time series is a very critical research area. Several research works already showed that the ability of generative adversarial networks (GANs) in the case of continuous medical time series generation is promising. Most medical data generation works, such as ECG synthesis, are mainly driven by the GAN model and its variation. On the other hand, Some recent work on Neural Ordinary Differential Equation (Neural ODE) demonstrates its strength against informative missingness, high dimension as well as dynamic nature of continuous time series. Instead of considering continuous-time series as a discrete-time sequence, Neural ODE can train continuous time series in real-time continuously. In this work, we used Neural ODE based model to generate synthetic sine waves and synthetic ECG. We introduced a new technique to design the generative adversarial network with Neural ODE based Generator and Discriminator. We developed three new models to synthesise continuous medical data. Different evaluation metrics are then used to quantitatively assess the quality of generated synthetic data for real-world applications and data analysis. Another goal of this work is to combine the strength of GAN and Neural ODE to generate synthetic continuous medical time series data such as ECG. We also evaluated both the GAN model and the Neural ODE model to understand the comparative efficiency of models from the GAN and Neural ODE family in medical data synthesis.

* Proc. of the International Conference on Electrical, Computer and Energy Technologies (ICECET), 9-10 December 2021, Cape Town-South Africa