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B-CAVE: A Robust Online Time Series Change Point Detection Algorithm Based on the Between-Class Average and Variance Evaluation Approach
Abstract
Change point detection (CPD) is a valuable technique in time series (TS) analysis, which allows for the automatic detection of abrupt variations within the TS. It is often useful in applications such as fault, anomaly, and intrusion detection systems. However, the inherent unpredictability and fluctuations in many real-time data sources pose a challenge for existing contemporary CPD techniques, leading to inconsistent performance across diverse real-time TS with varying characteristics. To address this challenge, we have developed a novel and robust online CPD algorithm constructed from the principle of discriminant analysis and based upon a newly proposed between-class average and variance evaluation approach, termed B-CAVE. Our B-CAVE algorithm features a unique change point measure, which has only one tunable parameter (i.e. the window size) in its computational process. We have also proposed a new evaluation metric that integrates time delay and the false alarm error towards effectively comparing the performance of different CPD methods in the literature. To validate the effectiveness of our method, we conducted experiments using both synthetic and real datasets, demonstrating the superior performance of the B-CAVE algorithm over other prominent existing techniques.
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The ability to detect small targets in sea clutter is still an ongoing challenge, even for modern radar systems. Over the past decade, the development of new radar waveforms and signal processing algorithms has been assisted by an increasingly good understanding of the characteristics of sea clutter. Nevertheless, many challenges remain in the development of robust sea clutter models that span the wide range of sea conditions and viewing geometries encountered in practice. This paper describes the current challenges with some suggestions on how they can be overcome.
This paper aims to develop a feature-based detector using seven existing salient features of radar returns to improve the detection ability of high-resolution maritime ubiquitous radars to sea-surface small targets. Maritime ubiquitous radars form simultaneously dwelling beams at multiple azimuths by digital array receiver and allow long observation time for detection. Due to absence or incompletion of training samples of radar returns with various types of sea-surface small targets, the detection boils down to designing a one-class classifier in the seven-dimensional (7D) feature space mainly by using training samples of sea clutter. A feature compression method, though maximizing interclass Bhattacharyya distance, is proposed to compress the 7D feature vector into one 3D feature vector with the help of simulated radar returns of typical targets. In the compressed 3D feature space, a modified convexhull learning algorithm is given to determine one convex polyhedron decision region of sea clutter at a given false alarm rate. In this way, a feature-compression-based detector is constructed, which can exploit more features of radar returns to improve detection performance. It is verified by the recognized and open IPIX and CSIR radar databases for sea-surface small target detection. The results show that it attains obvious performance improvement.
This article presents a selective survey of algorithms for the offline detection of multiple change points in multivariate time series. A general yet structuring methodological strategy is adopted to organize this vast body of work. More precisely, detection algorithms considered in this review are characterized by three elements: a cost function, a search method and a constraint on the number of changes. Each of those elements is described, reviewed and discussed separately. Implementations of the main algorithms described in this article are provided within a Python package called ruptures.
Unsupervised semantic segmentation in the time series domain is a much studied problem due to its potential to detect unexpected regularities and regimes in poorly understood data. However, the current techniques have several shortcomings, which have limited the adoption of time series semantic segmentation beyond academic settings for four primary reasons. First, most methods require setting/learning many parameters and thus may have problems generalizing to novel situations. Second, most methods implicitly assume that all the data is segmentable and have difficulty when that assumption is unwarranted. Thirdly, many algorithms are only defined for the single dimensional case, despite the ubiquity of multi-dimensional data. Finally, most research efforts have been confined to the batch case, but online segmentation is clearly more useful and actionable. To address these issues, we present a multi-dimensional algorithm, which is domain agnostic, has only one, easily-determined parameter, and can handle data streaming at a high rate. In this context, we test the algorithm on the largest and most diverse collection of time series datasets ever considered for this task and demonstrate the algorithm’s superiority over current solutions.
Change Point Detection (CPD) is the problem of discovering time points at which the behavior of a time series changes abruptly. In this paper, we present a novel real-time nonparametric change point detection algorithm called SEP which uses Separation distance as a divergence measure to detect change points in high-dimensional time series. Through experiments on artificial and real-world datasets, we demonstrate the usefulness of the proposed method in comparison with existing methods.
Change points are abrupt variations in time series data. Such abrupt changes may represent transitions that occur between states. Detection of change points is useful in modelling and prediction of time series and is found in application areas such as medical condition monitoring, climate change detection, speech and image analysis, and human activity analysis. This survey article enumerates, categorizes, and compares many of the methods that have been proposed to detect change points in time series. The methods examined include both supervised and unsupervised algorithms that have been introduced and evaluated. We introduce several criteria to compare the algorithms. Finally, we present some grand challenges for the community to consider.
We consider the problem of efficient financial surveillance aimed at
"on-the-go" detection of structural breaks (anomalies) in "live"-monitored
financial time series. With the problem approached statistically, viz. as that
of multi-cyclic sequential (quickest) change-point detection, we propose a
semi-parametric multi-cyclic change-point detection procedure to promptly spot
anomalies as they occur in the time series under surveillance. The proposed
procedure is a derivative of the likelihood ratio-based Shiryaev-Roberts (SR)
procedure; the latter is a quasi-Bayesian surveillance method known to deliver
the fastest (in the multi-cyclic sense) speed of detection, whatever be the
false alarm frequency. We offer a case study where we first carry out, step by
step, statistical analysis of a set of real-world financial data, and then set
up and devise (a) the proposed SR-based anomaly-detection procedure and (b) the
celebrated Cumulative Sum (CUSUM) chart to detect structural breaks in the
data. While both procedures performed well, the proposed SR-derivative,
conforming to the intuition, seemed slightly better.
Epilepsy is a dynamic disease in which the brain transitions between different states. In this paper, we focus on the problem of identifying the time points, referred to as change points, where the transitions between these different states happen. A Bayesian change point detection algorithm that does not require the knowledge of the total number of states or the parameters of the probability distribution modeling the activity of epileptic brain in each of these states is developed in this paper. This algorithm works in online mode making it amenable for real-time monitoring. To reduce the quadratic complexity of this algorithm, an approximate algorithm with linear complexity in the number of data points is also developed. Finally, we use these algorithms on ECoG recordings of an epileptic patient to locate the change points and determine segments corresponding to different brain states.
Receiver operating characteristics (ROC) graphs are useful for organizing classifiers and visualizing their performance. ROC graphs are commonly used in medical decision making, and in recent years have been used increasingly in machine learning and data mining research. Although ROC graphs are apparently simple, there are some common misconceptions and pitfalls when using them in practice. The purpose of this article is to serve as an introduction to ROC graphs and as a guide for using them in research.
We introduce a regularized kernel-based rule for unsupervised change detection based on a simpler version of the recently proposed kernel Fisher discriminant ratio. Compared to other kernel-based change detectors found in the literature, the proposed test statistic is easier to compute and has a known asymptotic distribution which can effectively be used to set the false alarm rate a priori. This technique is applied for segmenting tracks from TV shows, both for segmentation into semantically homogeneous sections (applause, movie, music, etc.) and for speaker diarization within the speech sections. On these tasks, the proposed approach outperforms other kernel-based tests and is competitive with a standard HMM-based supervised alternative.
Audio segmentation is an essential preprocessing step in several au- dio processing applications with a significant impact e.g. on speech recognition performance. We introduce a novel framework which combines the advantages of different well known segmentation methods. An automatically estimated log-linear segment model is used to determine the segmentation of an audio stream in a holistic way by a maximum a posteriori decoding strategy, instead of clas- sifying change points locally. A comparison to other segmentation techniques in terms of speech recognition performance is presented, showing a promising segmentation quality of our approach.
We propose an algorithm for simultaneously detecting and locating changepoints in a time series, and a framework for predicting the distribution of the next point in the series. The kernel of the algorithm is a system of equations that computes, for each index i, the probability that the last (most recent) change point occurred at i. We evaluate this algorithm by applying it to the change point detection problem and comparing it to the generalized likelihood ratio (GLR) algorithm. We find that our algorithm is as good as GLR, or better, over a wide range of scenarios, and that the advantage increases as the signal-to-noise ratio decreases.
Detecting regions of change in multiple images of the same scene taken at different times is of widespread interest due to a large number of applications in diverse disciplines, including remote sensing, surveillance, medical diagnosis and treatment, civil infrastructure, and underwater sensing. This paper presents a systematic survey of the common processing steps and core decision rules in modern change detection algorithms, including significance and hypothesis testing, predictive models, the shading model, and background modeling. We also discuss important preprocessing methods, approaches to enforcing the consistency of the change mask, and principles for evaluating and comparing the performance of change detection algorithms. It is hoped that our classification of algorithms into a relatively small number of categories will provide useful guidance to the algorithm designer.
Change point detection (CPD) aims to locate abrupt property changes in time series data. Recent CPD methods demonstrated the potential of using deep learning techniques, but often lack the ability to identify more subtle changes in the autocorrelation statistics of the signal and suffer from a high false alarm rate. To address these issues, we employ an autoencoder-based methodology with a novel loss function, through which the used autoencoders learn a partially time-invariant representation that is tailored for CPD. The result is a flexible method that allows the user to indicate whether change points should be sought in the time domain, frequency domain or both. Detectable change points include abrupt changes in the slope, mean, variance, autocorrelation function and frequency spectrum. We demonstrate that our proposed method is consistently highly competitive or superior to baseline methods on diverse simulated and real-life benchmark data sets. Finally, we mitigate the issue of false detection alarms through the use of a postprocessing procedure that combines a matched filter and a newly proposed change point score. We show that this combination drastically improves the performance of our method as well as all baseline methods.
Extracting informative and meaningful temporal segments from high-dimensional wearable sensor data, smart devices, or IoT data is a vital preprocessing step in applications such as Human Activity Recognition (HAR), trajectory prediction, gesture recognition, and lifelogging. In this paper, we propose ESPRESSO (Entropy and ShaPe awaRe timE-Series SegmentatiOn), a hybrid segmentation model for multi-dimensional time-series that is formulated to exploit the entropy and temporal shape properties of time-series. ESPRESSO differs from existing methods that focus upon particular statistical or temporal properties of time-series exclusively. As part of model development, a novel temporal representation of time-series WCAC was introduced along with a greedy search approach that estimate segments based upon the entropy metric. ESPRESSO was shown to offer superior performance to four state-of-the-art methods across seven public datasets of wearable and wear-free sensing. In addition, we undertake a deeper investigation of these datasets to understand how ESPRESSO and its constituent methods perform with respect to different dataset characteristics. Finally, we provide two interesting case-studies to show how applying ESPRESSO can assist in inferring daily activity routines and the emotional state of humans.
Anomaly detection is a problem with applications for a wide variety of domains, it involves the identification of novel or unexpected observations or sequences within the data being captured. The majority of current anomaly detection methods are highly specific to the individual use-case, requiring expert knowledge of the method as well as the situation to which it is being applied. The IoT as a rapidly expanding field offers many opportunities for this type of data analysis to be implemented however, due to the nature of the IoT this may be difficult. This review provides a background on the challenges which may be encountered when applying anomaly detection techniques to IoT data, with examples of applications for IoT anomaly detection taken from the literature. We discuss a range of approaches which have been developed across a variety of domains, not limited to Internet of Things due to the relative novelty of this application. Finally we summarise the current challenges being faced in the anomaly detection domain with a view to identifying potential research opportunities for the future.
A number of real world problems in many domains (e.g. sociology, biology, political science and communication networks) can be modeled as dynamic networks with nodes representing entities of interest and edges representing interactions among the entities at different points in time. A common representation for such models is the snapshot model - where a network is defined at logical time-stamps. An important problem under this model is change point detection. In this work we devise an effective and efficient three-step-approach for detecting change points in dynamic networks under the snapshot model. Our algorithm achieves up to 9X speedup over the state-of-the-art while improving quality on both synthetic and real world networks.
This work presents the Transition-Aware Human Activity Recognition (TAHAR) system architecture for the recognition of physical activities using smartphones. It targets real-time classification with a collection of inertial sensors while addressing issues regarding the occurrence of transitions between activities and unknown activities to the learning algorithm. We propose two implementations of the architecture which differ in their prediction technique as they deal with transitions either by directly learning them or by considering them as unknown activities. This is accomplished by combining the probabilistic output of consecutive activity predictions of a Support Vector Machine (SVM) with a heuristic filtering approach. The architecture is validated over three case studies that involve data from people performing a broad spectrum of activities (up to 33), while carrying smartphones or wearable sensors. Results show that TAHAR outperforms state-of-the-art baseline works and reveal the main advantages of the architecture.
Time series clustering has become an increasingly important research topic over the past decade. Most existing methods for time series clustering rely on distances calculated from the entire raw data using the Euclidean distance or Dynamic Time Warping distance as the distance measure. However, the presence of significant noise, dropouts, or extraneous data can greatly limit the accuracy of clustering in this domain. Moreover, for most real world problems, we cannot expect objects from the same class to be equal in length. As a consequence, most work on time series clustering only considers the clustering of individual time series "behaviors," e.g., individual heart beats or individual gait cycles, and contrives the time series in some way to make them all equal in length. However, contriving the data in such a way is often a harder problem than the clustering itself. In this work, we show that by using only some local patterns and deliberately ignoring the rest of the data, we can mitigate the above problems and cluster time series of different lengths, i.e., cluster one heartbeat with multiple heartbeats. To achieve this we exploit and extend a recently introduced concept in time series data mining called shapelets. Unlike existing work, our work demonstrates for the first time the unintuitive fact that shapelets can be learned from unlabeled time series. We show, with extensive empirical evaluation in diverse domains, that our method is more accurate than existing methods. Moreover, in addition to accurate clustering results, we show that our work also has the potential to give insights into the domains to which it is applied.
Change-point detection is the problem of finding abrupt changes in time-series, and it is attracting a lot of attention in the artificial intelligence and data mining communities. In this paper, we present a supervised learning based change-point detection approach in which we use separability of the past and future data at time t (they are labeled as +1 and -1) as a plausibility of a change-points. Based on this framework, we propose a detection measure called additive Hilbert-Schmidt Independence Criterion (aHSIC), which is defined as a weighted sum of HSIC scores between each feature and its corresponding binary labels. Here, HSIC is a kernel-based independence measure. A novelty of the aHSIC score is that it can incorporate feature selection during its detection measure estimation. More specifically, we first select features that are responsible for an abrupt change by a supervised manner, and then compute the aHSIC score by those selected features. Thus, compared with traditional detection measures, our approach tends to be robust to noise features, and thus the aHSIC is suited for a high-dimensional time-series change point detection problems. Through extensive experiments on synthetic and real-world human activity data set, we demonstrated that the proposed change-point detection method is promising.
Current automatic speech recognition (ASR) works in off-line mode and needs prior knowledge of the stationary or quasi-stationary test conditions for expected word recognition accuracy. These requirements limit the application of ASR for real-world applications where test conditions are highly non-stationary and are not known a priori. This paper presents an innovative frame dynamic rapid adaptation and noise compensation technique for tracking highly non-stationary noises and its application for on-line ASR. The proposed algorithm is based on a soft computing model using Bayesian on-line inference for spectral change point detection (BOSCPD) in unknown non-stationary noises. BOSCPD is tested with the MCRA noise tracking technique for on-line rapid environmental change learning in different non-stationary noise scenarios. The test results show that the proposed BOSCPD technique reduces the delay in spectral change point detection significantly compared to the baseline MCRA and its derivatives. The proposed BOSCPD soft computing model is tested for joint additive and channel distortions compensation (JAC)-based on-line ASR in unknown test conditions using non-stationary noisy speech samples from the Aurora 2 speech database. The simulation results for the on-line AR show significant improvement in recognition accuracy compared to the baseline Aurora 2 distributed speech recognition (DSR) in batch-mode.
The objective of change-point detection is to discover abrupt property
changes lying behind time-series data. In this paper, we present a novel
statistical change-point detection algorithm based on non-parametric divergence
estimation between time-series samples from two retrospective segments. Our
method uses the relative Pearson divergence as a divergence measure, and it is
accurately and efficiently estimated by a method of direct density-ratio
estimation. Through experiments on artificial and real-world datasets including
human-activity sensing, speech, and Twitter messages, we demonstrate the
usefulness of the proposed method.
In one of the data mining techniques, change-point detection is of importance in evaluating time series measured in real world. For decades this technique has been developed as a nonlinear dynamics. We apply the method for detecting the change points, Singular Spectrum Transformation (SST), to the climate time series. To know where the structures of climate data sets change can reveal a climate background. In this paper we discuss the structures of precipitation data in Kenya and Wrangel Island (Arctic land) by using the SST.
In recent years, there has been an explosion of interest in mining time-series databases. As with most computer science problems, representation of the data is the key to efficient and effective solutions. One of the most commonly used representations is piecewise linear approximation. This representation has been used by various researchers to support clustering, classification, indexing and association rule mining of time-series data. A variety of algorithms have been proposed to obtain this representation, with several algorithms having been independently rediscovered several times. In this paper, we undertake the first extensive review and empirical comparison of all proposed techniques. We show that all these algorithms have fatal flaws from a data-mining perspective. We introduce a novel algorithm that we empirically show to be superior to all others in the literature
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