Temporal extension of Laplacian Eigenmaps for unsupervised dimensionality reduction of time series

A novel non-linear dimensionality reduction method, called Temporal Laplacian Eigenmaps, is introduced to process efficiently time series data. In this embedded-based approach, temporal information is intrinsic to the objective function, which produces description of low dimensional spaces with time coherence between data points. Since the proposed scheme also includes bidirectional mapping between data and embedded spaces and automatic tuning of key parameters, it offers the same benefits as mapping-based approaches. Experiments on a couple of computer vision applications demonstrate the superiority of the new approach to other dimensionality reduction method in term of accuracy. Moreover, its lower computational cost and generalisation abilities suggest it is scalable to larger datasets. © 2010 IEEE.

Detecting sequence dependent transcriptional pauses from RNA and protein number time series

Background: Evidence suggests that in prokaryotes sequence-dependent transcriptional pauses a?ect the dynamics of transcription and translation, as well as of small genetic circuits. So far, a few pause-prone sequences have been identi?ed from in vitro measurements of transcription elongation kinetics.

Results: Using a stochastic model of gene expression at the nucleotide and codon levels with realistic parameter values, we investigate three di?erent but related questions and present statistical methods for their analysis. First, we show that information from in vivo RNA and protein temporal numbers is su?cient to discriminate between models with and without a pause site in their coding sequence. Second, we demonstrate that it is possible to separate a large variety of models from each other with pauses of various durations and locations in the template by means of a hierarchical clustering and a random forest classi?er. Third, we introduce an approximate likelihood function that allows to estimate the location of a pause site.

Conclusions: This method can aid in detecting unknown pause-prone sequences from temporal measurements of RNA and protein numbers at a genome-wide scale and thus elucidate possible roles that these sequences play in the dynamics of genetic networks and phenotype.

Modified Information Criteria and Selection of Long Memory Time Series Models

The problem of model selection of a univariate long memory time series is investigated once a semi parametric estimator for the long memory parameter has been used. Standard information criteria are not consistent in this case. A Modified Information Criterion (MIC) that overcomes these difficulties is introduced and proofs that show its asymptotic validity are provided. The results are general and cover a wide range of short memory processes. Simulation evidence compares the new and existing methodologies and empirical applications in monthly inflation and daily realized volatility are presented.

Income ineqaulity from 1960-2012: a brief time-series history of capital and labour

This commentary examines two principal forms of inequality and their evolution since the 1960s: the division of national income between capital and labour, and the share of total income held by the top 1 per cent of earners. Trends are linked to current discussions of inequality drivers such as financialisation, and a brief time-series analysis of the effects of trade and financial sector growth on top incomes is presented.

Bandwidth selection by cross-validation for forecasting long memory financial time series

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.

Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

Learning from time series:Supervised Aggregative Feature Extraction

Many modeling problems require to estimate a scalar output from one or more time series. Such problems are usually tackled by extracting a fixed number of features from the time series (like their statistical moments), with a consequent loss in information that leads to suboptimal predictive models. Moreover, feature extraction techniques usually make assumptions that are not met by real world settings (e.g. uniformly sampled time series of constant length), and fail to deliver a thorough methodology to deal with noisy data. In this paper a methodology based on functional learning is proposed to overcome the aforementioned problems; the proposed Supervised Aggregative Feature Extraction (SAFE) approach allows to derive continuous, smooth estimates of time series data (yielding aggregate local information), while simultaneously estimating a continuous shape function yielding optimal predictions. The SAFE paradigm enjoys several properties like closed form solution, incorporation of first and second order derivative information into the regressor matrix, interpretability of the generated functional predictor and the possibility to exploit Reproducing Kernel Hilbert Spaces setting to yield nonlinear predictive models. Simulation studies are provided to highlight the strengths of the new methodology w.r.t. standard unsupervised feature selection approaches. © 2012 IEEE.

An ultra-short-term wind power prediction method using “offline classification and optimization, online model matching” based on time series features

The applicability of ultra-short-term wind power prediction (USTWPP) models is reviewed. The USTWPP method proposed extracts featrues from historical data of wind power time series (WPTS), and classifies every short WPTS into one of several different subsets well defined by stationary patterns. All the WPTS that cannot match any one of the stationary patterns are sorted into the subset of nonstationary pattern. Every above WPTS subset needs a USTWPP model specially optimized for it offline. For on-line application, the pattern of the last short WPTS is recognized, then the corresponding prediction model is called for USTWPP. The validity of the proposed method is verified by simulations.

Open Source Telecommunications Framework for Time-Series Data from Smart Grid Sensors.

This paper presents a framework for a telecommunications interface which allows data from sensors embedded in Smart Grid applications to reliably archive data in an appropriate time-series database. The challenge in doing so is two-fold, firstly the various formats in which sensor data is represented, secondly the problems of telecoms reliability. A prototype of the authors' framework is detailed which showcases the main features of the framework in a case study featuring Phasor Measurement Units (PMU) as the application. Useful analysis of PMU data is achieved whenever data from multiple locations can be compared on a common time axis. The prototype developed highlights its reliability, extensibility and adoptability; features which are largely deferred from industry standards for data representation to proprietary database solutions. The open source framework presented provides link reliability for any type of Smart Grid sensor and is interoperable with existing proprietary database systems, and open database systems. The features of the authors' framework allow for researchers and developers to focus on the core of their real-time or historical analysis applications, rather than having to spend time interfacing with complex protocols.

Supervised Aggregative Feature Extraction for Big Data Time Series Regression

In many applications, and especially those where batch processes are involved, a target scalar output of interest is often dependent on one or more time series of data. With the exponential growth in data logging in modern industries such time series are increasingly available for statistical modeling in soft sensing applications. In order to exploit time series data for predictive modelling, it is necessary to summarise the information they contain as a set of features to use as model regressors. Typically this is done in an unsupervised fashion using simple techniques such as computing statistical moments, principal components or wavelet decompositions, often leading to significant information loss and hence suboptimal predictive models. In this paper, a functional learning paradigm is exploited in a supervised fashion to derive continuous, smooth estimates of time series data (yielding aggregated local information), while simultaneously estimating a continuous shape function yielding optimal predictions. The proposed Supervised Aggregative Feature Extraction (SAFE) methodology can be extended to support nonlinear predictive models by embedding the functional learning framework in a Reproducing Kernel Hilbert Spaces setting. SAFE has a number of attractive features including closed form solution and the ability to explicitly incorporate first and second order derivative information. Using simulation studies and a practical semiconductor manufacturing case study we highlight the strengths of the new methodology with respect to standard unsupervised feature extraction approaches.