Related papers: Extracting Common Time Trends from Concurrent Time…

Periodicity detection is an important task in time series analysis, but still a challenging problem due to the diverse characteristics of time series data like abrupt trend change, outlier, noise, and especially block missing data. In this…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

Spiking neural networks (SNNs), inspired by the spiking behavior of biological neurons, provide a unique pathway for capturing the intricacies of temporal data. However, applying SNNs to time-series forecasting is challenging due to…

To characterize temporal correlations in temporal networks, we define an autocorrelation function (ACF) for temporal networks in terms of the similarity between two snapshot networks separated by a certain time interval. By employing a…

In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…

RF-GAP has recently been introduced as an improved random forest proximity measure. In this paper, we present PF-GAP, an extension of RF-GAP proximities to proximity forests, an accurate and efficient time series classification model. We…

During the past few years the Trend Filtering Algorithm (TFA) has become an important utility in filtering out time-dependent systematic effects in photometric databases for extrasolar planetary transit search. Here we present the extension…

A dynamic factor model with a mixture distribution of the loadings is introduced and studied for multivariate, possibly high-dimensional time series. The correlation matrix of the model exhibits a block structure, reminiscent of correlation…

We demonstrate that extremely rapid and weak periodic and non-periodic signals can easily be detected by using the autocorrelation of intensity as a function of time. We use standard radio-astronomical observations that have artificial…

It is surprising that last two decades many works in time series data mining and clustering were concerned with measures of similarity of time series but not with measures of association that can be used for measuring possible direct and…

The time-series forecasting (TSF) problem is a traditional problem in the field of artificial intelligence. Models such as Recurrent Neural Network (RNN), Long Short Term Memory (LSTM), and GRU (Gate Recurrent Units) have contributed to…

Time-series data arise in many medical and biological imaging scenarios. In such images, a time-series is obtained at each of a large number of spatially-dependent data units. It is interesting to organize these data into model-based…

Accurate time series forecasting is a fundamental challenge in data science. It is often affected by external covariates such as weather or human intervention, which in many applications, may be predicted with reasonable accuracy. We refer…

Identifying directed spectral information flow between multivariate time series is important for many applications in finance, climate, geophysics and neuroscience. Spectral Granger causality (SGC) is a prediction-based measure…

Noise radars can be understood in terms of a correlation coefficient which characterizes their detection performance. Although most results in the literature are stated in terms of the signal-to-noise ratio (SNR), we show that it is…

Recurrent neural networks (RNNs) are commonly applied to clinical time-series data with the goal of learning patient risk stratification models. Their effectiveness is due, in part, to their use of parameter sharing over time (i.e., cells…

We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…

Detecting and classifying abnormal system states is critical for condition monitoring, but supervised methods often fall short due to the rarity of anomalies and the lack of labeled data. Therefore, clustering is often used to group similar…

We show that various systematics related to certain instrumental effects and data reduction anomalies in wide field variability surveys can be efficiently corrected by a Trend Filtering Algorithm (TFA) applied to the photometric time series…

Multivariate time series naturally exist in many fields, like energy, bioinformatics, signal processing, and finance. Most of these applications need to be able to compare these structured data. In this context, dynamic time warping (DTW)…