Detecting System Anomalies in Multivariate Time Series with Information Transfer and Random Walk

Author(s):  
Jongsun Lee ◽  
Hyun-Soo Choi ◽  
Yongkweon Jeon ◽  
Yongsik Kwon ◽  
Donghun Lee ◽  
...  
Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 369
Author(s):  
Errol Zalmijn ◽  
Tom Heskes ◽  
Tom Claassen

Similar to natural complex systems, such as the Earth’s climate or a living cell, semiconductor lithography systems are characterized by nonlinear dynamics across more than a dozen orders of magnitude in space and time. Thousands of sensors measure relevant process variables at appropriate sampling rates, to provide time series as primary sources for system diagnostics. However, high-dimensionality, non-linearity and non-stationarity of the data are major challenges to efficiently, yet accurately, diagnose rare or new system issues by merely using model-based approaches. To reliably narrow down the causal search space, we validate a ranking algorithm that applies transfer entropy for bivariate interaction analysis of a system’s multivariate time series to obtain a weighted directed graph, and graph eigenvector centrality to identify the system’s most important sources of original information or causal influence. The results suggest that this approach robustly identifies the true drivers or causes of a complex system’s deviant behavior, even when its reconstructed information transfer network includes redundant edges.


2019 ◽  
Vol 224 ◽  
pp. 06011
Author(s):  
Igor Kirilyuk ◽  
Oleg Senko

Monte-Carlo methods to asses a statistical validity of the relationship between coefficients of time series regression model were proposed. In economics such a relationship is present in the case when constant return to scale in production functions is assumed. The techniques being discussed here are virtually free from assumptions about underlying probability distributions and may be used in the case, when target variable or regressors are time series with random walk. This is achieved by comparing the regression model built on truly multivariate time series with those built on simulated time series with random walk. It has been shown that for the production functions of most Russian regions, the returns to scale significantly differs from a constant value at p<0.05.


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