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

Local Exceptionality Detection in Time Series Using Subgroup Discovery

Aug 05, 2021
Dan Hudson, Travis J. Wiltshire, Martin Atzmueller

In this paper, we present a novel approach for local exceptionality detection on time series data. This method provides the ability to discover interpretable patterns in the data, which can be used to understand and predict the progression of a time series. This being an exploratory approach, the results can be used to generate hypotheses about the relationships between the variables describing a specific process and its dynamics. We detail our approach in a concrete instantiation and exemplary implementation, specifically in the field of teamwork research. Using a real-world dataset of team interactions we include results from an example data analytics application of our proposed approach, showcase novel analysis options, and discuss possible implications of the results from the perspective of teamwork research.


Specific Differential Entropy Rate Estimation for Continuous-Valued Time Series

Jun 08, 2016
David Darmon

We introduce a method for quantifying the inherent unpredictability of a continuous-valued time series via an extension of the differential Shannon entropy rate. Our extension, the specific entropy rate, quantifies the amount of predictive uncertainty associated with a specific state, rather than averaged over all states. We relate the specific entropy rate to popular `complexity' measures such as Approximate and Sample Entropies. We provide a data-driven approach for estimating the specific entropy rate of an observed time series. Finally, we consider three case studies of estimating specific entropy rate from synthetic and physiological data relevant to the analysis of heart rate variability.

* Entropy 18.5 (2016): 190 

DeepGraviLens: a Multi-Modal Architecture for Classifying Gravitational Lensing Data

May 03, 2022
Nicolò Oreste Pinciroli Vago, Piero Fraternali

Gravitational lensing is the relativistic effect generated by massive bodies, which bend the space-time surrounding them. It is a deeply investigated topic in astrophysics and allows validating theoretical relativistic results and studying faint astrophysical objects that would not be visible otherwise. In recent years Machine Learning methods have been applied to support the analysis of the gravitational lensing phenomena by detecting lensing effects in data sets consisting of images associated with brightness variation time series. However, the state-of-art approaches either consider only images and neglect time-series data or achieve relatively low accuracy on the most difficult data sets. This paper introduces DeepGraviLens, a novel multi-modal network that classifies spatio-temporal data belonging to one non-lensed system type and three lensed system types. It surpasses the current state of the art accuracy results by $\approx$ 19% to $\approx$ 43%, depending on the considered data set. Such an improvement will enable the acceleration of the analysis of lensed objects in upcoming astrophysical surveys, which will exploit the petabytes of data collected, e.g., from the Vera C. Rubin Observatory.


Learning to Reconstruct Missing Data from Spatiotemporal Graphs with Sparse Observations

May 26, 2022
Ivan Marisca, Andrea Cini, Cesare Alippi

Modeling multivariate time series as temporal signals over a (possibly dynamic) graph is an effective representational framework that allows for developing models for time series analysis. In fact, discrete sequences of graphs can be processed by autoregressive graph neural networks to recursively learn representations at each discrete point in time and space. Spatiotemporal graphs are often highly sparse, with time series characterized by multiple, concurrent, and even long sequences of missing data, e.g., due to the unreliable underlying sensor network. In this context, autoregressive models can be brittle and exhibit unstable learning dynamics. The objective of this paper is, then, to tackle the problem of learning effective models to reconstruct, i.e., impute, missing data points by conditioning the reconstruction only on the available observations. In particular, we propose a novel class of attention-based architectures that, given a set of highly sparse discrete observations, learn a representation for points in time and space by exploiting a spatiotemporal diffusion architecture aligned with the imputation task. Representations are trained end-to-end to reconstruct observations w.r.t. the corresponding sensor and its neighboring nodes. Compared to the state of the art, our model handles sparse data without propagating prediction errors or requiring a bidirectional model to encode forward and backward time dependencies. Empirical results on representative benchmarks show the effectiveness of the proposed method.


TODS: An Automated Time Series Outlier Detection System

Sep 18, 2020
Kwei-Harng Lai, Daochen Zha, Guanchu Wang, Junjie Xu, Yue Zhao, Devesh Kumar, Yile Chen, Purav Zumkhawaka, Minyang Wan, Diego Martinez, Xia Hu

We present TODS, an automated Time Series Outlier Detection System for research and industrial applications. TODS is a highly modular system that supports easy pipeline construction. The basic building block of TODS is primitive, which is an implementation of a function with hyperparameters. TODS currently supports 70 primitives, including data processing, time series processing, feature analysis, detection algorithms, and a reinforcement module. Users can freely construct a pipeline using these primitives and perform end- to-end outlier detection with the constructed pipeline. TODS provides a Graphical User Interface (GUI), where users can flexibly design a pipeline with drag-and-drop. Moreover, a data-driven searcher is provided to automatically discover the most suitable pipelines given a dataset. TODS is released under Apache 2.0 license at

* Under Review 

Time Series Analysis of Big Data for Electricity Price and Demand to Find Cyber-Attacks part 2: Decomposition Analysis

Jul 30, 2019
Mohsen Rakhshandehroo, Mohammad Rajabdorri

In this paper, in following of the first part (which ADF tests using ACI evaluation) has conducted, Time Series (TSs) are analyzed using decomposition analysis. In fact, TSs are composed of four components including trend (long term behavior or progression of series), cyclic component (non-periodic fluctuation behavior which are usually long term), seasonal component (periodic fluctuations due to seasonal variations like temperature, weather condition and etc.) and error term. For our case of cyber-attack detection, in this paper, two common ways of TS decomposition are investigated. The first method is additive decomposition and the second is multiplicative method to decompose a TS into its components. After decomposition, the error term is tested using Durbin-Watson and Breusch-Godfrey test to see whether the error follows any predictable pattern, it can be concluded that there is a chance of cyber-attack to the system.

* 7pages, 8 tables, 17 figs 

Neural Ordinary Differential Equation based Recurrent Neural Network Model

May 20, 2020
Mansura Habiba, Barak A. Pearlmutter

Neural differential equations are a promising new member in the neural network family. They show the potential of differential equations for time series data analysis. In this paper, the strength of the ordinary differential equation (ODE) is explored with a new extension. The main goal of this work is to answer the following questions: (i)~can ODE be used to redefine the existing neural network model? (ii)~can Neural ODEs solve the irregular sampling rate challenge of existing neural network models for a continuous time series, i.e., length and dynamic nature, (iii)~how to reduce the training and evaluation time of existing Neural ODE systems? This work leverages the mathematical foundation of ODEs to redesign traditional RNNs such as Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU). The main contribution of this paper is to illustrate the design of two new ODE-based RNN models (GRU-ODE model and LSTM-ODE) which can compute the hidden state and cell state at any point of time using an ODE solver. These models reduce the computation overhead of hidden state and cell state by a vast amount. The performance evaluation of these two new models for learning continuous time series with irregular sampling rate is then demonstrated. Experiments show that these new ODE based RNN models require less training time than Latent ODEs and conventional Neural ODEs. They can achieve higher accuracy quickly, and the design of the neural network is simpler than, previous neural ODE systems.


Uncovering delayed patterns in noisy and irregularly sampled time series: an astronomy application

Aug 25, 2009
Juan C. Cuevas-Tello, Peter Tino, Somak Raychaudhury, Xin Yao, Markus Harva

We study the problem of estimating the time delay between two signals representing delayed, irregularly sampled and noisy versions of the same underlying pattern. We propose and demonstrate an evolutionary algorithm for the (hyper)parameter estimation of a kernel-based technique in the context of an astronomical problem, namely estimating the time delay between two gravitationally lensed signals from a distant quasar. Mixed types (integer and real) are used to represent variables within the evolutionary algorithm. We test the algorithm on several artificial data sets, and also on real astronomical observations of quasar Q0957+561. By carrying out a statistical analysis of the results we present a detailed comparison of our method with the most popular methods for time delay estimation in astrophysics. Our method yields more accurate and more stable time delay estimates: for Q0957+561, we obtain 419.6 days for the time delay between images A and B. Our methodology can be readily applied to current state-of-the-art optical monitoring data in astronomy, but can also be applied in other disciplines involving similar time series data.

* 36 pages, 10 figures, 16 tables, accepted for publication in Pattern Recognition. This is a shortened version of the article: interested readers are urged to refer to the published version 

Dimensionality Reduction for Stationary Time Series via Stochastic Nonconvex Optimization

Oct 01, 2018
Minshuo Chen, Lin Yang, Mengdi Wang, Tuo Zhao

Stochastic optimization naturally arises in machine learning. Efficient algorithms with provable guarantees, however, are still largely missing, when the objective function is nonconvex and the data points are dependent. This paper studies this fundamental challenge through a streaming PCA problem for stationary time series data. Specifically, our goal is to estimate the principle component of time series data with respect to the covariance matrix of the stationary distribution. Computationally, we propose a variant of Oja's algorithm combined with downsampling to control the bias of the stochastic gradient caused by the data dependency. Theoretically, we quantify the uncertainty of our proposed stochastic algorithm based on diffusion approximations. This allows us to prove the asymptotic rate of convergence and further implies near optimal asymptotic sample complexity. Numerical experiments are provided to support our analysis.


Finite-Time Performance of Distributed Temporal Difference Learning with Linear Function Approximation

Jul 25, 2019
Thinh T. Doan, Siva Theja Maguluri, Justin Romberg

We study the policy evaluation problem in multi-agent reinforcement learning, where a group of agents operates in a common environment. In this problem, the goal of the agents is to cooperatively evaluate the global discounted accumulative reward, which is composed of local rewards observed by the agents. Over a series of time steps, the agents act, get rewarded, update their local estimate of the value function, then communicate with their neighbors. The local update at each agent can be interpreted as a distributed variant of the popular temporal difference learning methods TD$(\lambda)$. Our main contribution is to provide a finite-analysis on the performance of this distributed TD$(\lambda)$ for both constant and time-varying step sizes. The key idea in our analysis is to utilize the geometric mixing time $\tau$ of the underlying Markov chain, that is, although the "noise" in our algorithm is Markovian, their dependence is almost weakened out every $\tau$ step. In particular, we provide an explicit formula for the upper bound on the rates of the proposed method as a function of the network topology, the discount factor, the constant $\lambda$, and the mixing time $\tau$. Our results theoretically address some numerical observations of TD$(\lambda)$, that is, $\lambda=1$ gives the best approximation of the function values while $\lambda = 0$ leads to better performance when there is a large variance in the algorithm. Our results complement the existing literature, where such an explicit formula for the rates of distributed TD$(\lambda)$ is not available.

* arXiv admin note: text overlap with arXiv:1902.07393