Evolutionary hierarchical model for predicting values from real-world time series

1997 ◽  
Author(s):  
Clare Robinson ◽  
Neil Mort
Keyword(s):  
Time Series ◽  
Hierarchical Model ◽  
Real World

Phenomenological Modelling

2018 ◽  
Author(s):  
Ray Huffaker ◽  
Marco Bittelli ◽  
Rodolfo Rosa
Keyword(s):  
Nonlinear Dynamics ◽  
Time Series ◽  
Real World ◽  
Biological Diversity ◽  
False Positives ◽  
World Systems ◽  
Economic Activities ◽  
Essential Services ◽  
Low Dimension ◽  
Convergent Cross Mapping

Detecting causal interactions among climatic, environmental, and human forces in complex biophysical systems is essential for understanding how these systems function and how public policies can be devised that protect the flow of essential services to biological diversity, agriculture, and other core economic activities. Convergent Cross Mapping (CCM) detects causal networks in real-world systems diagnosed with deterministic, low-dimension, and nonlinear dynamics. If CCM detects correspondence between phase spaces reconstructed from observed time series variables, then the variables are determined to causally interact in the same dynamic system. CCM can give false positives by misconstruing synchronized variables as causally interactive. Extended (delayed) CCM screens for false positives among synchronized variables.

scholarly journals Time-Delay Identification Using Multiscale Ordinal Quantifiers

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 969
Author(s):  
Miguel C. Soriano ◽  
Luciano Zunino
Keyword(s):  
Time Series ◽  
Time Delay ◽  
Real World ◽  
Propagation Speed ◽  
Real World Data ◽  
External Observer ◽  
The North ◽  
Weather Phenomenon ◽  
The North Atlantic Oscillation ◽  
Finite Propagation Speed

Time-delayed interactions naturally appear in a multitude of real-world systems due to the finite propagation speed of physical quantities. Often, the time scales of the interactions are unknown to an external observer and need to be inferred from time series of observed data. We explore, in this work, the properties of several ordinal-based quantifiers for the identification of time-delays from time series. To that end, we generate artificial time series of stochastic and deterministic time-delay models. We find that the presence of a nonlinearity in the generating model has consequences for the distribution of ordinal patterns and, consequently, on the delay-identification qualities of the quantifiers. Here, we put forward a novel ordinal-based quantifier that is particularly sensitive to nonlinearities in the generating model and compare it with previously-defined quantifiers. We conclude from our analysis on artificially generated data that the proper identification of the presence of a time-delay and its precise value from time series benefits from the complementary use of ordinal-based quantifiers and the standard autocorrelation function. We further validate these tools with a practical example on real-world data originating from the North Atlantic Oscillation weather phenomenon.

General Hierarchical Model (GHM) to measure similarity of time series

2007 ◽  
Vol 36 (1) ◽  
pp. 13-18 ◽  
Author(s):  
Xinqiang Zuo ◽  
Xiaoming Jin
Keyword(s):  
Time Series ◽  
Hierarchical Model

NONLINEAR GATED EXPERTS FOR TIME SERIES: DISCOVERING REGIMES AND AVOIDING OVERFITTING

1995 ◽  
Vol 06 (04) ◽  
pp. 373-399 ◽  
Author(s):  
ANDREAS S. WEIGEND ◽  
MORGAN MANGEAS ◽  
ASHOK N. SRIVASTAVA
Keyword(s):  
Time Series ◽  
Real World ◽  
Markov Models ◽  
Multilayer Perceptrons ◽  
Time Step ◽  
Local Complexity ◽  
Previous State ◽  
Segmentation Task ◽  
Gating Network ◽  
Update Rules

In the analysis and prediction of real-world systems, two of the key problems are nonstationarity (often in the form of switching between regimes), and overfitting (particularly serious for noisy processes). This article addresses these problems using gated experts, consisting of a (nonlinear) gating network, and several (also nonlinear) competing experts. Each expert learns to predict the conditional mean, and each expert adapts its width to match the noise level in its regime. The gating network learns to predict the probability of each expert, given the input. This article focuses on the case where the gating network bases its decision on information from the inputs. This can be contrasted to hidden Markov models where the decision is based on the previous state(s) (i.e. on the output of the gating network at the previous time step), as well as to averaging over several predictors. In contrast, gated experts soft-partition the input space, only learning to model their region. This article discusses the underlying statistical assumptions, derives the weight update rules, and compares the performance of gated experts to standard methods on three time series: (1) a computer-generated series, obtained by randomly switching between two nonlinear processes; (2) a time series from the Santa Fe Time Series Competition (the light intensity of a laser in chaotic state); and (3) the daily electricity demand of France, a real-world multivariate problem with structure on several time scales. The main results are: (1) the gating network correctly discovers the different regimes of the process; (2) the widths associated with each expert are important for the segmentation task (and they can be used to characterize the sub-processes); and (3) there is less overfitting compared to single networks (homogeneous multilayer perceptrons), since the experts learn to match their variances to the (local) noise levels. This can be viewed as matching the local complexity of the model to the local complexity of the data.

An Efficient Pruning and Filtering Strategy to Mine Partial Periodic Patterns from a Sequence of Event Sets

2014 ◽  
Vol 10 (2) ◽  
pp. 18-38 ◽  
Author(s):  
Kung-Jiuan Yang ◽  
Tzung-Pei Hong ◽  
Yuh-Min Chen ◽  
Guo-Cheng Lan
Keyword(s):  
Time Series ◽  
Real World ◽  
Oil Price ◽  
Time Stamp ◽  
Single Event ◽  
Periodic Patterns ◽  
Event Time ◽  
The Past ◽  
Real World Applications ◽  
Speed Up

Partial periodic patterns are commonly seen in real-world applications. The major problem of mining partial periodic patterns is the efficiency problem due to a huge set of partial periodic candidates. Although some efficient algorithms have been developed to tackle the problem, the performance of the algorithms significantly drops when the mining parameters are set low. In the past, the authors have adopted the projection-based approach to discover the partial periodic patterns from single-event time series. In this paper, the authors extend it to mine partial periodic patterns from a sequence of event sets which multiple events concurrently occur at the same time stamp. Besides, an efficient pruning and filtering strategy is also proposed to speed up the mining process. Finally, the experimental results on a synthetic dataset and real oil price dataset show the good performance of the proposed approach.

scholarly journals Joint Modeling of Local and Global Temporal Dynamics for Multivariate Time Series Forecasting with Missing Values

2020 ◽  
Vol 34 (04) ◽  
pp. 5956-5963
Author(s):  
Xianfeng Tang ◽  
Huaxiu Yao ◽  
Yiwei Sun ◽  
Charu Aggarwal ◽  
Prasenjit Mitra ◽  
...  
Keyword(s):  
Time Series ◽  
Real World ◽  
Missing Values ◽  
Temporal Dynamics ◽  
Multivariate Time Series ◽  
Temporal Distribution ◽  
Joint Modeling ◽  
Adversarial Training ◽  
Global Patterns ◽  
Real World Datasets

Multivariate time series (MTS) forecasting is widely used in various domains, such as meteorology and traffic. Due to limitations on data collection, transmission, and storage, real-world MTS data usually contains missing values, making it infeasible to apply existing MTS forecasting models such as linear regression and recurrent neural networks. Though many efforts have been devoted to this problem, most of them solely rely on local dependencies for imputing missing values, which ignores global temporal dynamics. Local dependencies/patterns would become less useful when the missing ratio is high, or the data have consecutive missing values; while exploring global patterns can alleviate such problem. Thus, jointly modeling local and global temporal dynamics is very promising for MTS forecasting with missing values. However, work in this direction is rather limited. Therefore, we study a novel problem of MTS forecasting with missing values by jointly exploring local and global temporal dynamics. We propose a new framework øurs, which leverages memory network to explore global patterns given estimations from local perspectives. We further introduce adversarial training to enhance the modeling of global temporal distribution. Experimental results on real-world datasets show the effectiveness of øurs for MTS forecasting with missing values and its robustness under various missing ratios.

TESTING TIME-SERIES STATIONARITY AGAINST AN ALTERNATIVE WHOSE MEAN IS PERIODIC

2001 ◽  
Vol 5 (3) ◽  
pp. 380-412 ◽  
Author(s):  
Melvin A. Hinich ◽  
Phillip Wild
Keyword(s):  
Time Series ◽  
Fourier Transform ◽  
Real World ◽  
Null Hypothesis ◽  
Data Sets ◽  
Testing Time ◽  
Economic Data ◽  
The Mean ◽  
Important Form ◽  
Real World Problems

We develop a test of the null hypothesis that an observed time series is a realization of a strictly stationary random process. Our test is based on the result that the kth value of the discrete Fourier transform of a sample frame has a zero mean under the null hypothesis. The test that we develop will have considerable power against an important form of nonstationarity hitherto not considered in the mainstream econometric time-series literature, that is, where the mean of a time series is periodic with random variation in its periodic structure. The size and power properties of the test are investigated and its applicability to real-world problems is demonstrated by application to three economic data sets.

Multivariate Time Series Link Prediction for Evolving Heterogeneous Network

2019 ◽  
Vol 18 (01) ◽  
pp. 241-286 ◽  
Author(s):  
Alper Ozcan ◽  
Sule Gunduz Oguducu
Keyword(s):  
Time Series ◽  
Real World ◽  
Link Prediction ◽  
Multivariate Time Series ◽  
Similarity Measures ◽  
Dynamic Structure ◽  
Social Bookmarking ◽  
Node Connectivity ◽  
Worldwide Web ◽  
Heterogeneous Social Networks

Link prediction is considered as one of the key tasks in various data mining applications for recommendation systems, bioinformatics, security and worldwide web. The majority of previous works in link prediction mainly focus on the homogeneous networks which only consider one type of node and link. However, real-world networks have heterogeneous interactions and complicated dynamic structure, which make link prediction a more challenging task. In this paper, we have studied the problem of link prediction in the dynamic, undirected, weighted/unweighted, heterogeneous social networks which are composed of multiple types of nodes and links that change over time. We propose a novel method, called Multivariate Time Series Link Prediction for evolving heterogeneous networks that incorporate (1) temporal evolution of the network; (2) correlations between link evolution and multi-typed relationships; (3) local and global similarity measures; and (4) node connectivity information. Our proposed method and the previously proposed time series methods are evaluated experimentally on a real-world bibliographic network (DBLP) and a social bookmarking network (Delicious). Experimental results show that the proposed method outperforms the previous methods in terms of AUC measures in different test cases.

scholarly journals Pattern Recognition in Multivariate Time Series: Towards an Automated Event Detection Method for Smart Manufacturing Systems

2020 ◽  
Vol 4 (3) ◽  
pp. 88 ◽  
Author(s):  
Vadim Kapp ◽  
Marvin Carl May ◽  
Gisela Lanza ◽  
Thorsten Wuest
Keyword(s):  
Time Series ◽  
Real World ◽  
Manufacturing Systems ◽  
Multivariate Time Series ◽  
Series Data ◽  
Smart Manufacturing ◽  
Monitoring Method ◽  
Data Set ◽  
Failure Patterns ◽  
Smart Manufacturing Systems

This paper presents a framework to utilize multivariate time series data to automatically identify reoccurring events, e.g., resembling failure patterns in real-world manufacturing data by combining selected data mining techniques. The use case revolves around the auxiliary polymer manufacturing process of drying and feeding plastic granulate to extrusion or injection molding machines. The overall framework presented in this paper includes a comparison of two different approaches towards the identification of unique patterns in the real-world industrial data set. The first approach uses a subsequent heuristic segmentation and clustering approach, the second branch features a collaborative method with a built-in time dependency structure at its core (TICC). Both alternatives have been facilitated by a standard principle component analysis PCA (feature fusion) and a hyperparameter optimization (TPE) approach. The performance of the corresponding approaches was evaluated through established and commonly accepted metrics in the field of (unsupervised) machine learning. The results suggest the existence of several common failure sources (patterns) for the machine. Insights such as these automatically detected events can be harnessed to develop an advanced monitoring method to predict upcoming failures, ultimately reducing unplanned machine downtime in the future.

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