The process of collecting and organizing sets of observations represents a common theme throughout the history of science. However, despite the ubiquity of scientists measuring, recording, and analyzing the dynamics of different processes, an extensive organization of scientific time-series data and analysis methods ha…
Meta-learning for Koopman spectral analysis with short time-series data.
problem Lack of long time-series for training embedding functions in Koopman spectral analysis.
method Meta-learning approach using bidirectional LSTM and neural network to estimate embedding functions from short time-series.
result The proposed method achieves better performance in eigenvalue estimation and future prediction compared to existing methods.
NEMoTS improves time series analysis by deriving efficient, interpretable models.
problem Lack of comprehensive understanding and insightful explanations in time series analysis.
method Neural-enhanced Monte-Carlo Tree Search (NEMoTS) for symbolic regression.
result NEMoTS provides efficient and interpretable models for time series analysis.
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-seri…
Transformers improve time series modeling by capturing long-range dependencies.
problem Capturing long-range dependencies in time series data.
method Summarized and reviewed adaptations of Transformers for time series analysis.
result Transformers enhance time series forecasting, anomaly detection, and classification.
Time series analysis is a key component of machine learning, with applications in various fields.
problem Time series analysis in machine learning
method Basic concepts, classical statistical models, modern machine learning approaches
result Machine learning techniques for time series analysis
Overview of high-dimensional time series regression methods.
problem Estimation and inference with high-dimensional time series data.
method Limit theory for high-dimensional dependent data, asymptotic theory for time series regression, statistical learning methods.
result Main limit theory results and asymptotic theory for high-dimensional time series regression.
The paper reviews Hankel low-rank methods for time series analysis and forecasting.
problem Developing efficient methods for time series analysis and forecasting.
method Hankel low-rank approximation and completion techniques.
result Discussion of methods and challenges in obtaining optimal solutions.
TADA detects anomalies in time series using topological data analysis.
problem Detecting global changes in dependency structure between channels in multivariate time series.
method Topological Data Analysis for detecting anomalies in multivariate time series.
result The approach is more suitable for detecting global changes of correlation structures than existing methods.
Paper shows how SFA fits into FBM framework for time series separation.
problem Identifying time series decomposition in flow-based models.
method Combining SFA and FBM to make time series decomposition identifiable.
result Time series decomposition becomes identifiable using SFA and FBM.
This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach.
New method detects intrinsic cross-correlations in non-stationary time series affected by common factors.
problem Bias in cross-correlation analysis due to common external factors.
method Multifractal temporally weighted detrended partial cross-correlation analysis (MF-TWDPCCA).
result MF-TWDPCCA accurately detects intrinsic cross-correlations between non-stationary time series.
With developing of computation tools in the last years, data analysis methods to find insightful information are becoming more common among industries and researchers. This paper is the first part of the times series analysis of New England electricity price and demand to find anomaly in the data. In this paper time-se…
VTA combines verbal and latent reasoning for accurate stock time-series forecasts.
problem Challenges in combining textual analysis with time-series data for financial forecasting.
method Converts stock price data into textual annotations, optimizes reasoning trace using inverse MSE, conditions time-series model outputs on reasoning attributes.
result VTA achieves state-of-the-art forecasting accuracy and interpretable reasoning traces.
Recent years have witnessed the unprecedented rising of time series from almost all kindes of academic and industrial fields. Various types of deep neural network models have been introduced to time series analysis, but the important frequency information is yet lack of effective modeling. In light of this, in this pap…
Bayesian QFSTS model tackles feature selection in quantile time series analysis.
problem Quantile feature selection in correlated multivariate time series data.
method Bayesian dimension reduction methodology using QFSTS model with multivariate asymmetric Laplace distribution, spike-and-slab prior, Metropolis-Hastings algorithm, and Bayesian model averaging.
result QFSTS model outperforms in feature selection, parameter estimation, and forecasting.
In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and test our trading rules, which are built by the essential concepts of technical ana…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate and the community activities was detected. Time series fractal analysis indicat…
Paper establishes a comprehensive benchmark for ECG time-series analysis.
problem Incomplete understanding of ECG signal properties and limitations in evaluation metrics.
method Categorization of downstream applications, identification of limitations, introduction of a novel metric, benchmarking of time-series models.
result Validation of the effectiveness of the proposed metric and model architecture.
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originat…
A new framework for time series analysis using state-space learning.
problem Ineffectiveness of traditional Kalman filtering in handling big data and multiple explanatory variables.
method State Space Learning (SSL) framework using statistical learning for high-dimensional regression.
result SSL outperforms traditional methods in subset selection and forecasting accuracy.
Analyzes Indian commercial dynamism using time series data.
problem Understanding commercial dynamism in India.
method Time series analysis of various economic indicators.
result Detailed insights into growth rate, trade balance, etc.
Paper uses topological data analysis for time series classification.
problem Classifying univariate time series data, especially physiological signals.
method Persistent homology for feature engineering, followed by machine learning.
result Higher accuracy achieved with fewer features compared to traditional methods.
Novel method converts time series data into functional data for high dimensional classification.
problem Small sample size problem in high dimensional time series data.
method Classwise Functional Principal Component Analysis (PCA) followed by Bayesian linear classifier.
result Demonstrated efficacy on synthetic and real data sets.
Bayesian analysis of financial time series using R-INLA.
problem Analyzing interdependencies between stock volatility measures.
method Flexible level correlated model (LCM) with INLA approximation.
result Fast approximate Bayesian modeling of positive-valued time series.
The paper introduces a method for interpretable principal component analysis of high-dimensional time series.
problem Inconsistent and difficult-to-interpret principal component estimates in high-dimensional regimes.
method Localized sparse principal component analysis of spectral density matrices in frequency domain.
result Efficient algorithm for sparse-localized estimates of principal subspaces.
This paper extends hypergraph construction to multivariate time series using signature transforms.
problem Constructing hypergraphs from collections of multivariate time series.
method Leveraging signature transforms to introduce controlled randomness and robustness.
result Validated on synthetic datasets, the method enhances robustness in hypergraph construction.
Causal analysis predicts market trends using time series data.
problem Predicting financial market trends using diverse time series data.
method Causal analysis based on lagged Pearson correlation applied to financial metrics.
result Discrimination of causal connections between different types of market data.
Feature-based time series representations have attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on …
New method phenotypes sleep apnea patients using time series analysis.
problem Traditional diagnosis of sleep apnea is insufficient for capturing its multi-faceted outcomes.
method Fuzzy clustering in time and frequency domains, and persistent homology for topological analysis.
result Phenotyping patients improves understanding of sleep apnea.
Two possible definitions of fixed points in the self-similar analysis of time series are considered. One definition is based on the minimal-difference condition and another, on a simple averaging. From studying stock market time series, one may conclude that these two definitions are practically equivalent. A forecast …
theft package simplifies feature extraction for time series analysis in R.
problem Lack of a unified access point and methodological pipelines for feature-based time series analysis.
method theft package provides a unified framework for computing features from six open-source time series feature sets.
result theft enables comprehensive quantification and interpretation of time series structure.
A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme (PLCS) followed by the analysis of the network on the percolation threshold (NPT). The algorithm was applied to the analysis of correlations among GDP per capita time serie…
RST improves environmental time series classification accuracy using randomized B-spline trees.
problem Improving accuracy in classifying complex environmental time series.
method Randomized Spline Trees (RST) integrates randomized functional representations into ensemble learning.
result RST variants outperform standard Random Forests and Gradient Boosting on most environmental time series datasets.
The analysis of nonstationary time series is of great importance in many scientific fields such as physics and neuroscience. In recent years, Gaussian process regression has attracted substantial attention as a robust and powerful method for analyzing time series. In this paper, we introduce a new framework for analyzi…
OneShotSTL efficiently decomposes time series online, improving speed and accuracy.
problem Real-time analysis of time series data with low processing delay.
method Online seasonal-trend decomposition algorithm with O(1) update time complexity.
result 1,000 times faster than batch methods with comparable accuracy.
Survey categorizes time series anomaly detection methods.
problem Need for anomaly detection in time series data.
method Process-centric taxonomy of anomaly detection methods.
result Meta-analysis of time series anomaly detection trends.
It becomes increasingly popular to perform mediation analysis for complex data from sophisticated experimental studies. In this paper, we present Granger Mediation Analysis (GMA), a new framework for causal mediation analysis of multiple time series. This framework is motivated by a functional magnetic resonance imagin…
Nonlinear dynamic volatility has been observed in many financial time series. The recently proposed quantile periodogram offers an alternative way to examine this phenomena in the frequency domain. The quantile periodogram is constructed from trigonometric quantile regression of time series data at different frequencie…
Study compares Bitcoin, gold, and gas price complexity using multifractal and multiscale entropy methods.
problem Quantifying complexity of financial time series for market analysis.
method Employed MF-DFA and RCMSE to analyze Bitcoin, GBP/USD, gold, and natural gas price log-return time series.
result Bitcoin shows higher complexity compared to other markets, linked to higher nonlinear correlations.
New clustering algorithm for time series data using RNN and variational Bayes.
problem Lack of generative model-based clustering methods for time series data.
method Recurrent Neural Network (RNN) with variational Bayes method.
result Robustness against phase shift, amplitude, and signal length variations.
Study shows topological features improve time series classification.
problem Classifying stochastic processes with varying noise and sampling.
method Topological data analysis features compared to statistical and raw features.
result Topological features lead to better classification performance.
This paper proposes a probabilistic neural network developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower-dimensional space using a set of orthogonal tra…
Researchers forecast VoIP traffic in mobile networks using multivariate time series analysis.
problem Predicting VoIP traffic behavior in real mobile networks for better resource allocation.
method Multivariate time series analysis, Vector Autoregressive models, machine learning techniques.
result Forecasting accuracy and insights into VoIP traffic dynamics.
GIFT-Eval benchmarks time series forecasting models across diverse datasets.
problem Lack of comprehensive benchmarks for evaluating time series foundation models.
method Developed GIFT-Eval, a benchmark with 23 datasets, 177 million data points, and 144,000 time series.
result Promotes evaluation of foundation models across various domains and frequencies.
Enhances VC startup success predictions using graph augmented time series models.
problem Challenges in predicting startup success due to limited financial data and subjective forecasts.
method Integrates inter-company relationships into time series analysis using GraphRAG.
result Significantly outperforms previous models in startup success predictions.
Variant of mSSA improves time series prediction error.
problem Improve prediction error in multivariate time series.
method Introduce spatio-temporal factor model, establish prediction error scaling.
result Prediction error scales as 1 / √(min(N, T)T).
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, να+, where Tα=1/να+ is the average waiting time for observing the level α again. We estimate the probability P(K,α), which provides us the probab…