scholarly journals Outlier Detection for Time Series with Recurrent Autoencoder Ensembles

2019 ◽  
Author(s):  
Tung Kieu ◽  
Bin Yang ◽  
Chenjuan Guo ◽  
Christian S. Jensen
Keyword(s):  
Time Series ◽  
Outlier Detection ◽  
Time Series Data ◽  
State Of The Art ◽  
Multivariate Time Series ◽  
Series Data ◽  
Data Sets ◽  
Network Connection ◽  
Detection Quality ◽  
Insight Into

We propose two solutions to outlier detection in time series based on recurrent autoencoder ensembles. The solutions exploit autoencoders built using sparsely-connected recurrent neural networks (S-RNNs). Such networks make it possible to generate multiple autoencoders with different neural network connection structures. The two solutions are ensemble frameworks, specifically an independent framework and a shared framework, both of which combine multiple S-RNN based autoencoders to enable outlier detection.  This ensemble-based approach aims to reduce the effects of some autoencoders being overfitted to outliers, this way improving overall detection quality. Experiments with two large real-world time series data sets, including univariate and multivariate time series, offer insight into the design properties of the proposed frameworks and demonstrate that the resulting solutions are capable of outperforming both baselines and the state-of-the-art methods.

scholarly journals A Review on Outlier/Anomaly Detection in Time Series Data

2021 ◽  
Vol 54 (3) ◽  
pp. 1-33
Author(s):  
Ane Blázquez-García ◽  
Angel Conde ◽  
Usue Mori ◽  
Jose A. Lozano
Keyword(s):  
Time Series ◽  
Outlier Detection ◽  
Time Series Data ◽  
State Of The Art ◽  
Series Data ◽  
Detection Techniques ◽  
The Past ◽  
Time Series Mining ◽  
Detection Of Outliers ◽  
Unsupervised Outlier Detection

Recent advances in technology have brought major breakthroughs in data collection, enabling a large amount of data to be gathered over time and thus generating time series. Mining this data has become an important task for researchers and practitioners in the past few years, including the detection of outliers or anomalies that may represent errors or events of interest. This review aims to provide a structured and comprehensive state-of-the-art on unsupervised outlier detection techniques in the context of time series. To this end, a taxonomy is presented based on the main aspects that characterize an outlier detection technique.

scholarly journals Multivariate Time Series Data Prediction Based on ATT-LSTM Network

2021 ◽  
Vol 11 (20) ◽  
pp. 9373
Author(s):  
Jie Ju ◽  
Fang-Ai Liu
Keyword(s):  
Time Series ◽  
Deep Learning ◽  
Time Series Data ◽  
Mutual Influence ◽  
Multivariate Time Series ◽  
The Other ◽  
Series Data ◽  
Data Sets ◽  
Learning Models ◽  
Prediction Problems

Deep learning models have been widely used in prediction problems in various scenarios and have shown excellent prediction effects. As a deep learning model, the long short-term memory neural network (LSTM) is potent in predicting time series data. However, with the advancement of technology, data collection has become more accessible, and multivariate time series data have emerged. Multivariate time series data are often characterized by a large amount of data, tight timeline, and many related sequences. Especially in real data sets, the change rules of many sequences will be affected by the changes of other sequences. The interacting factors data, mutation information, and other issues seriously impact the prediction accuracy of deep learning models when predicting this type of data. On the other hand, we can also extract the mutual influence information between different sequences and simultaneously use the extracted information as part of the model input to make the prediction results more accurate. Therefore, we propose an ATT-LSTM model. The network applies the attention mechanism (attention) to the LSTM to filter the mutual influence information in the data when predicting the multivariate time series data, which makes up for the poor ability of the network to process data. Weaknesses have greatly improved the accuracy of the network in predicting multivariate time series data. To evaluate the model’s accuracy, we compare the ATT-LSTM model with the other six models on two real multivariate time series data sets based on two evaluation indicators: Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). The experimental results show that the model has an excellent performance improvement compared with the other six models, proving the model’s effectiveness in predicting multivariate time series data.

scholarly journals Toeplitz Inverse Covariance-based Clustering of Multivariate Time Series Data

2018 ◽  
Author(s):  
David Hallac ◽  
Sagar Vare ◽  
Stephen Boyd ◽  
Jure Leskovec
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Graphical Representation ◽  
State Of The Art ◽  
Multivariate Time Series ◽  
Series Data ◽  
Temporal Data ◽  
Scalable Algorithm ◽  
Model Based Clustering ◽  
Markov Random

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of only a small number of states, or clusters. However, discovering these patterns is challenging because it requires simultaneous segmentation and clustering of the time series. Here we propose a new method of model-based clustering, which we call Toeplitz Inverse Covariance-based Clustering (TICC). Each cluster in the TICC method is defined by a correlation network, or Markov random field (MRF), characterizing the interdependencies between different observations in a typical subsequence of that cluster. Based on this graphical representation, TICC simultaneously segments and clusters the time series data. We solve the TICC problem through a scalable algorithm that is able to efficiently solve for tens of millions of observations. We validate our approach by comparing TICC to several state-of-the-art baselines in a series of synthetic experiments, and we then demonstrate on an automobile dataset how TICC can be used to learn interpretable clusters in real-world scenarios.

Kaleidomaps: A New Technique for the Visualization of Multivariate Time-Series Data

2007 ◽  
Vol 6 (2) ◽  
pp. 155-167 ◽  
Author(s):  
Kim Bale ◽  
Paul Chapman ◽  
Nick Barraclough ◽  
Jon Purdy ◽  
Nizamettin Aydin ◽  
...  
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Rapid Identification ◽  
Series Data ◽  
Data Sets ◽  
Periodic Patterns ◽  
Large Complex ◽  
Visualization Tools ◽  
Glass Patterns

In this paper, we describe a new visualization technique that can facilitate our understanding and interpretation of large complex multivariate time-series data sets. ‘Kaleidomaps’ have been carefully developed taking into account research into how we perceive form and structure within Glass patterns. We have enhanced the classic cascade plot using the curvature of a line to alter the detection of possible periodic patterns within multivariate dual periodicity data sets. Similar to Glass patterns, the concentric nature of the Kaleidomap may induce a motion signal within the brain of the observer facilitating the perception of patterns within the data. Kaleidomaps and our associated visualization tools alter the rapid identification of periodic patterns not only within their own variants but also across many different sets of variants. By linking this technique with traditional line graphs and signal processing techniques, we are able to provide the user with a set of visualization tools that permit the combination of multivariate time-series data sets in their raw form and also with the results of mathematical analysis. In this paper, we provide two case study examples of how Kaleidomaps can be used to improve our understanding of large complex multivariate time dependent data.

scholarly journals Change Point Enhanced Anomaly Detection for IoT Time Series Data

Water ◽  
2021 ◽  
Vol 13 (12) ◽  
pp. 1633
Author(s):  
Elena-Simona Apostol ◽  
Ciprian-Octavian Truică ◽  
Florin Pop ◽  
Christian Esposito
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Change Point ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Change Point Detection ◽  
Change Points ◽  
Series Data ◽  
Prediction And Forecasting ◽  
Point Detection

Due to the exponential growth of the Internet of Things networks and the massive amount of time series data collected from these networks, it is essential to apply efficient methods for Big Data analysis in order to extract meaningful information and statistics. Anomaly detection is an important part of time series analysis, improving the quality of further analysis, such as prediction and forecasting. Thus, detecting sudden change points with normal behavior and using them to discriminate between abnormal behavior, i.e., outliers, is a crucial step used to minimize the false positive rate and to build accurate machine learning models for prediction and forecasting. In this paper, we propose a rule-based decision system that enhances anomaly detection in multivariate time series using change point detection. Our architecture uses a pipeline that automatically manages to detect real anomalies and remove the false positives introduced by change points. We employ both traditional and deep learning unsupervised algorithms, in total, five anomaly detection and five change point detection algorithms. Additionally, we propose a new confidence metric based on the support for a time series point to be an anomaly and the support for the same point to be a change point. In our experiments, we use a large real-world dataset containing multivariate time series about water consumption collected from smart meters. As an evaluation metric, we use Mean Absolute Error (MAE). The low MAE values show that the algorithms accurately determine anomalies and change points. The experimental results strengthen our assumption that anomaly detection can be improved by determining and removing change points as well as validates the correctness of our proposed rules in real-world scenarios. Furthermore, the proposed rule-based decision support systems enable users to make informed decisions regarding the status of the water distribution network and perform effectively predictive and proactive maintenance.

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