exploring the feature space of large collections of time series

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Exploring the feature space of large time series collections 1 Exploring the feature space of large collections of time series Rob J Hyndman

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Page 1: Exploring the feature space of large collections of time series

Exploring the feature space of large time series collections 1

Exploring thefeature space oflarge collectionsof time series

Rob J Hyndman

Page 2: Exploring the feature space of large collections of time series

Exploring the feature space of large time series collections 1

Exploring thefeature space oflarge collectionsof time series

Rob J Hyndman

with Earo Wang, Nikolay LaptevYanfei Kang, Kate Smith-Miles

Page 3: Exploring the feature space of large collections of time series

Outline

1 M3 competition data

2 Yahoo web traffic

3 What next?

Exploring the feature space of large time series collections M3 competition data 2

Page 4: Exploring the feature space of large collections of time series

M3 forecasting competition

Exploring the feature space of large time series collections M3 competition data 3

Page 5: Exploring the feature space of large collections of time series

M3 forecasting competition

Exploring the feature space of large time series collections M3 competition data 3

Page 6: Exploring the feature space of large collections of time series

M3 forecasting competition

“The M3-Competition is a final attempt by the authors tosettle the accuracy issue of various time series methods. . .The extension involves the inclusion of more methods/researchers (in particular in the areas of neural networksand expert systems) and more series.”

Makridakis & Hibon, IJF 2000

3003 series

All data from business, demography, finance andeconomics.

Series length between 14 and 126.

Either non-seasonal, monthly or quarterly.

All time series positive.

Exploring the feature space of large time series collections M3 competition data 4

Page 7: Exploring the feature space of large collections of time series

M3 forecasting competition

Exploring the feature space of large time series collections M3 competition data 5

Page 8: Exploring the feature space of large collections of time series

Key idea

Examples for time series

lag correlationsize and direction of trendstrength of seasonalitytiming of peak seasonalityspectral entropy

Called “features” or “characteristics” in themachine learning literature.

Exploring the feature space of large time series collections M3 competition data 6

John W Tukey

Cognostics

Computer-produced diagnostics(Tukey and Tukey, 1985).

Page 9: Exploring the feature space of large collections of time series

Key idea

Examples for time series

lag correlationsize and direction of trend

strength of seasonalitytiming of peak seasonalityspectral entropy

Called “features” or “characteristics” in themachine learning literature.

Exploring the feature space of large time series collections M3 competition data 6

John W Tukey

Cognostics

Computer-produced diagnostics(Tukey and Tukey, 1985).

Page 10: Exploring the feature space of large collections of time series

Key idea

Examples for time series

lag correlationsize and direction of trend

strength of seasonalitytiming of peak seasonalityspectral entropy

Called “features” or “characteristics” in themachine learning literature.

Exploring the feature space of large time series collections M3 competition data 6

John W Tukey

Cognostics

Computer-produced diagnostics(Tukey and Tukey, 1985).

Page 11: Exploring the feature space of large collections of time series

An STL decompositionQuarterly visitor nights: Mornington Peninsula

Yt = St + Tt + Rt St is periodic with mean 0

5.0

6.0

7.0

data

−0.

50.

5

seas

onal

5.8

6.1

6.4

tren

d

−0.

40.

0

2000 2005 2010

rem

aind

er

timeExploring the feature space of large time series collections M3 competition data 7

Page 12: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 13: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 14: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 15: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 16: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 17: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 18: Exploring the feature space of large collections of time series

Candidate features

STL decompositionYt = St + Tt + Rt

Seasonal period

Strength of seasonality: 1− Var(Rt)Var(Yt−Tt)

Strength of trend: 1− Var(Rt)Var(Yt−St)

Spectral entropy: H = −∫ π−π fy(λ) log fy(λ)dλ,

where fy(λ) is spectral density of Yt.Low values of H suggest a time series that iseasier to forecast (more signal).

Autocorrelations: r1, r2, r3, . . .

Optimal Box-Cox transformation parameter λExploring the feature space of large time series collections M3 competition data 8

Page 19: Exploring the feature space of large collections of time series

Dimension reduction for time series

Exploring the feature space of large time series collections M3 competition data 9●

Page 20: Exploring the feature space of large collections of time series

Dimension reduction for time series

Exploring the feature space of large time series collections M3 competition data 9●

SpecEntr

0.0 0.4 0.8 2 6 10 0.0 0.4 0.8

0.5

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Trend

Season

0.0

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28 Freq

ACF

−0.

40.

6

0.5 0.7 0.9

0.0

0.6

0.0 0.4 0.8 −0.4 0.2 0.8

Lambda

Featurecalculation

Page 21: Exploring the feature space of large collections of time series

Dimension reduction for time series

Exploring the feature space of large time series collections M3 competition data 9●

SpecEntr

0.0 0.4 0.8 2 6 10 0.0 0.4 0.8

0.5

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0.0

0.6

Trend

Season

0.0

0.6

28 Freq

ACF

−0.

40.

6

0.5 0.7 0.9

0.0

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0.0 0.4 0.8 −0.4 0.2 0.8

Lambda

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Principalcomponentdecomposition

Page 22: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 10

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First two PCs explain 68% of variation.

Page 23: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 10

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Page 24: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 10

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Page 32: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 11

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Page 33: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 12

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Page 34: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 13

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Page 35: Exploring the feature space of large collections of time series

Feature space of M3 data

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Page 36: Exploring the feature space of large collections of time series

Feature space of M3 data

Exploring the feature space of large time series collections M3 competition data 14

Time

5 10 15

Page 37: Exploring the feature space of large collections of time series

Outline

1 M3 competition data

2 Yahoo web traffic

3 What next?

Exploring the feature space of large time series collections Yahoo web traffic 15

Page 38: Exploring the feature space of large collections of time series

Yahoo web-trafficTens of thousands of time series collected atone-hour intervals over one month.Consisting of several server metrics (e.g. CPU usageand paging views) from many server farms globally.Aim: find unusual (anomalous) time series.

Exploring the feature space of large time series collections Yahoo web traffic 16

Page 39: Exploring the feature space of large collections of time series

Yahoo web-traffic

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Exploring the feature space of large time series collections Yahoo web traffic 17

Page 40: Exploring the feature space of large collections of time series

Feature spaceACF1: first order autocorrelation = Corr(Yt, Yt−1)

Strength of trend and seasonality based on STLTrend linearity and curvatureSize of seasonal peak and troughSpectral entropyLumpiness: variance of block variances (block size 24).Spikiness: variances of leave-one-out variances of STL remainders.Level shift: Maximum difference in trimmed means of consecutivemoving windows of size 24.Variance change: Max difference in variances of consecutivemoving windows of size 24.Flat spots: Discretize sample space into 10 equal-sized intervals.Find max run length in any interval.Number of crossing points of mean line.Kullback-Leibler score: Maximum ofDKL(P‖Q) =

∫P(x) ln P(x)/Q(x)dx where P and Q are estimated by

kernel density estimators applied to consecutive windows of size 48.Change index: Time of maximum KL score

Exploring the feature space of large time series collections Yahoo web traffic 18

Page 41: Exploring the feature space of large collections of time series

Principal component analysis

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Exploring the feature space of large time series collections Yahoo web traffic 19

Page 42: Exploring the feature space of large collections of time series

What is “anomalous”

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ACF1

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−2.5 0.0 2.5standardized PC1 (28.7% explained var.)

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ar.)

We need a measure of the “anomalousness” of a timeseries.

1 Rank points based on their local density.2 Rank points based on whether they are within

α-convex hulls of different radius.Exploring the feature space of large time series collections Yahoo web traffic 20

Page 43: Exploring the feature space of large collections of time series

What is “anomalous”

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ACF1

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We need a measure of the “anomalousness” of a timeseries.

1 Rank points based on their local density.2 Rank points based on whether they are within

α-convex hulls of different radius.Exploring the feature space of large time series collections Yahoo web traffic 20

Page 44: Exploring the feature space of large collections of time series

What is “anomalous”

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We need a measure of the “anomalousness” of a timeseries.

1 Rank points based on their local density.2 Rank points based on whether they are within

α-convex hulls of different radius.Exploring the feature space of large time series collections Yahoo web traffic 20

Page 45: Exploring the feature space of large collections of time series

Bivariate kernel density

f̂(x;H) =1

n

n∑i=1

KH(x− Xi)

Xi ∈ a bivariate random sample {X1,X2, . . . ,Xn}KH(x) is the standard normal kernel function

H estimated by minimizing the sum of AMISE

Rank points based on f̂ values in 2d PCA space.

Exploring the feature space of large time series collections Yahoo web traffic 21

Page 46: Exploring the feature space of large collections of time series

Bivariate kernel density

f̂(x;H) =1

n

n∑i=1

KH(x− Xi)

Xi ∈ a bivariate random sample {X1,X2, . . . ,Xn}KH(x) is the standard normal kernel function

H estimated by minimizing the sum of AMISE

Rank points based on f̂ values in 2d PCA space.

Exploring the feature space of large time series collections Yahoo web traffic 21

Page 47: Exploring the feature space of large collections of time series

Bivariate density ranking

Exploring the feature space of large time series collections Yahoo web traffic 22

−5 0 5

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Page 48: Exploring the feature space of large collections of time series

Bivariate density ranking

Exploring the feature space of large time series collections Yahoo web traffic 22

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Page 49: Exploring the feature space of large collections of time series

α-convex hullsThe space generated by point pairs that can betouched by an empty disc of radius α.

α→∞ gives a convex hull.

Points can become isolated when α is small.

We rank points based on the value of α whenthey become isolated.

Exploring the feature space of large time series collections Yahoo web traffic 23

Page 50: Exploring the feature space of large collections of time series

α-convex hullsThe space generated by point pairs that can betouched by an empty disc of radius α.

α→∞ gives a convex hull.

Points can become isolated when α is small.

We rank points based on the value of α whenthey become isolated.

Exploring the feature space of large time series collections Yahoo web traffic 23

Page 51: Exploring the feature space of large collections of time series

α-convex hullsThe space generated by point pairs that can betouched by an empty disc of radius α.

α→∞ gives a convex hull.

Points can become isolated when α is small.

We rank points based on the value of α whenthey become isolated.

Exploring the feature space of large time series collections Yahoo web traffic 23

Page 52: Exploring the feature space of large collections of time series

α-convex hullsThe space generated by point pairs that can betouched by an empty disc of radius α.

α→∞ gives a convex hull.

Points can become isolated when α is small.

We rank points based on the value of α whenthey become isolated.

Exploring the feature space of large time series collections Yahoo web traffic 23

Page 53: Exploring the feature space of large collections of time series

α-convex hull

Exploring the feature space of large time series collections Yahoo web traffic 24

Page 54: Exploring the feature space of large collections of time series

α-convex hull ranking

Exploring the feature space of large time series collections Yahoo web traffic 25

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Page 55: Exploring the feature space of large collections of time series

α-convex hull ranking

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Exploring the feature space of large time series collections Yahoo web traffic 26

Page 57: Exploring the feature space of large collections of time series

Top 5 anomalous time series

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Exploring the feature space of large time series collections Yahoo web traffic 27

Page 58: Exploring the feature space of large collections of time series

Outline

1 M3 competition data

2 Yahoo web traffic

3 What next?

Exploring the feature space of large time series collections What next? 28

Page 59: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 60: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 61: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 62: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 63: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 64: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 65: Exploring the feature space of large collections of time series

What next?

Develop a more comprehensive set of featuresthat are reliable measures and fast to compute.e.g., for finance data.Consider application to functional data fromother contexts (not time series).Is PCA the right approach? Perhaps we shoulduse multidimensional scaling? Or somethingelse?Should we use more than 2 PC dimensions?Develop dynamic and interactive visualizationtools.Make methods available in an R package.

Some of the methods are already available in theanomalous package for R on github.

Exploring the feature space of large time series collections What next? 29

Page 66: Exploring the feature space of large collections of time series

Further information

Exploring the feature space of large time series collections What next? 30

å Papers: robjhyndman.com

å Code: github.com/robjhyndman

å Email: [email protected]