English

Mining Novel Multivariate Relationships in Time Series Data Using Correlation Networks

Machine Learning 2019-04-24 v2 Machine Learning

Abstract

In many domains, there is significant interest in capturing novel relationships between time series that represent activities recorded at different nodes of a highly complex system. In this paper, we introduce multipoles, a novel class of linear relationships between more than two time series. A multipole is a set of time series that have strong linear dependence among themselves, with the requirement that each time series makes a significant contribution to the linear dependence. We demonstrate that most interesting multipoles can be identified as cliques of negative correlations in a correlation network. Such cliques are typically rare in a real-world correlation network, which allows us to find almost all multipoles efficiently using a clique-enumeration approach. Using our proposed framework, we demonstrate the utility of multipoles in discovering new physical phenomena in two scientific domains: climate science and neuroscience. In particular, we discovered several multipole relationships that are reproducible in multiple other independent datasets and lead to novel domain insights.

Keywords

Cite

@article{arxiv.1810.02950,
  title  = {Mining Novel Multivariate Relationships in Time Series Data Using Correlation Networks},
  author = {Saurabh Agrawal and Michael Steinbach and Daniel Boley and Snigdhansu Chatterjee and Gowtham Atluri and Anh The Dang and Stefan Liess and Vipin Kumar},
  journal= {arXiv preprint arXiv:1810.02950},
  year   = {2019}
}

Comments

This is the accepted version of article submitted to IEEE Transactions on Knowledge and Data Engineering 2019

R2 v1 2026-06-23T04:30:28.327Z