Times series averaging and denoising from a probabilistic perspective on time-elastic kernels

DOI10.2478/AMCS-2019-0028MaRDI QIDQ2299099zbMATH OpenOpenAlexWikidataFDO

Authors Pierre-François Marteau

Publication date 20 February 2020

Published in International Journal of Applied Mathematics and Computer Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1611.09194

zbMATH Keywords

classificationdenoisingdynamic time warpinghidden Markov modeltime elastic kerneltime series averaging

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In the light of regularized dynamic time warping kernels, this paper re-considers the concept of time elastic centroid for a setof time series. We derive a new algorithm based on a probabilistic interpretation of kernel alignment matrices. This algorithm expressesthe averaging process in terms of a stochastic alignment automata. It uses an iterative agglomerative heuristic method for averagingthe aligned samples, while also averaging the times of occurrence of the aligned samples. By comparing classification accuracies for45 heterogeneous time series datasets obtained by first nearest centroid/medoid classifiers we show that: i) centroid-basedapproaches significantly outperform medoid-based approaches, ii) for the considered datasets, our algorithm that combines averagingin the sample space and along the time axes, emerges as the most significantly robust model for time-elastic averaging with apromising noise reduction capability. We also demonstrate its benefit in an isolated gesture recognition experiment and its ability tosignificantly reduce the size of training instance sets. Finally we highlight its denoising capability using demonstrative synthetic data:we show that it is possible to retrieve, from few noisy instances, a signal whose components are scattered in a wide spectral band.

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Cites work

• A global averaging method for dynamic time warping, with applications to clustering
• scientific article; zbMATH DE number 1222686 (Why is no real title available?)
• On the Hidden Markov Model and Dynamic Time Warping for Speech Recognition-A Unified View
• Summarizing a set of time series by averaging: from Steiner sequence to compact multiple alignment
• The Multiple Sequence Alignment Problem in Biology

Cited in

(4)

• On a scalable nonparametric denoising of time series signals
• A feasible \(k\)-means kernel trick under non-Euclidean feature space
• Interpretable time series kernel analytics by pre-image estimation
• Estimating event probabilities via signal temporal logic and first occurrence distributions

Describes a project that uses

Uses Software

• UCI
• DBA

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