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Time Series Representations for Better Data Mining
What can we do with time series data?
• Classification
• Clustering
• Anomaly (outlier) detection
• Forecasting
What are the problems with time series data?
• High-dimension
• Noise
• Concept-drift (trend-shift etc.)
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Time Series Representations
What can we do for solving these problems?
• Use time series representations!
They are excellent to:
• Reduce memory load.
• Accelerate subsequent machine learning algorithms.
• Implicitly remove noise from the data.
• Emphasize the essential characteristics of the data.
• Help to find patterns in data (or motifs).
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TSrepr
TSrepr - CRAN1, GitHub2
• R package for time series representations computing
• Large amount of various methods are implemented
• Several useful support functions are also included
• Easy to extend and to use
data <- rnorm(1000)
repr_paa(data, func = median, q = 10)
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https://CRAN.R-project.org/package=TSrepr
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https://github.com/PetoLau/TSrepr/
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All type of time series representations methods are implemented, so far these:
• PAA - Piecewise Aggregate Approximation ( repr_paa )
• DWT - Discrete Wavelet Transform ( repr_dwt )
• DFT - Discrete Fourier Transform ( repr_dft )
• DCT - Discrete Cosine Transform ( repr_dct )
• PIP - Perceptually Important Points ( repr_pip )
• SAX - Symbolic Aggregate Approximation ( repr_sax )
• PLA - Piecewise Linear Approximation ( repr_pla )
• Mean seasonal profile ( repr_seas_profile )
• Model-based seasonal representations based on linear model ( repr_lm )
• FeaClip - Feature extraction from clipping representation ( repr_feaclip )
Additional useful functions are implemented as:
• Windowing ( repr_windowing )
• Matrix of representations ( repr_matrix )
• Normalisation functions - z-score ( norm_z ), min-max ( norm_min_max )
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Usage of TSrepr
mat <- "some matrix with lot of time series"
mat_reprs <- repr_matrix(mat, func = repr_lm,
args = list(method = "rlm", freq = c(48, 48*7)),
normalise = TRUE, func_norm = norm_z)
mat_reprs <- repr_matrix(mat, func = repr_feaclip,
windowing = TRUE, win_size = 48)
clustering <- kmeans(mat_reprs, 20)
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Simple extensibility of TSrepr
Example #1:
library(moments)
data_ts_skew <- repr_paa(data, q = 48, func = skewness)
Example #2:
repr_fea_extract <- function(x)
c(mean(x), median(x), max(x), min(x), sd(x))
data_fea <- repr_windowing(data,
win_size = 100, func = repr_fea_extract)
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Conclusions
Time Series Representations:
• They are our fiends in clustering, forecasting, classification etc.
• Implemented in TSrepr
Questions: Peter Laurinec tsreprpackage@gmail.com
Code: https://github.com/PetoLau/TSrepr/
More research: https://petolau.github.io/research
Blog: https://petolau.github.io
And of course: install.packages("TSrepr")
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Time series representations for better data mining

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Time series representations for better data mining