Sharing real-time aggregate statistics of private data is of great value to the public to perform data mining for understanding important phenomena, such as Influenza outbreaks and traffic congestion. However, releasing time-series data with standard differential privacy mechanism has limited utility due to high correlation between data values. We propose FAST, a novel framework to release real-time aggregate statistics under differential privacy based on filtering and adaptive sampling. To minimize the overall privacy cost, FAST adaptively samples long time-series according to the detected data dynamics. To improve the accuracy of data release per time stamp, FAST predicts data values at non-sampling points and corrects noisy observations at sampling points. Our experiments with real-world as well as synthetic data sets confirm that FAST improves the accuracy of released aggregates even under small privacy cost and can be used to enable a wide range of monitoring applications.
Time series data is pervasively encountered in the fields of engineering, science, sociology, and economics. Various techniques @cite_20 , such as ARIMA modeling, exponential smoothing, ARAR, and Holt-Winters methods, have been studied for time-series forecasting. @cite_38 studied the trade-offs between time-series compressibility property and perturbation. They proposed two algorithms based on Fast Fourier Transform (FFT) and Discrete Wavelet Transform (DWT) respectively to perturb time-series frequencies. But the additive noise proposed by them does not guarantee differential privacy, meaning it does not protect sensitive information from adversaries with strong background knowledge. Rastogi and Nath @cite_14 proposed a Discrete Fourier Transform (DFT) based algorithm which implements differential privacy by perturbing the discrete Fourier coefficients. However, this algorithm cannot produce real-time private released in a streaming environment. The recent works @cite_13 @cite_17 on continuous data streams defined the privacy to protect an event, i.e. one user's presence at a particular time point, rather than the presence of that user. If one user contributes to the aggregation at time point @math , @math , and @math , the event-level privacy hides the user's presence at only one of the three time points, resulting the rest two open to attack.
@cite_38 @cite_14 @cite_13 @cite_20 @cite_17
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Time series stored as feature vectors can be indexed by multidimensional index trees like R-Trees for fast retrieval. Due to the dimensionality curse problem, transformations are applied to time series to reduce the number of dimensions of the feature vectors. Different transformations like Discrete Fourier Transform (DFT) Discrete Wavelet Transform (DWT), Karhunen-Loeve (KL) transform or Singular Value Decomposition (SVD) can be applied. While the use of DFT and K-L transform or SVD have been studied on the literature, to our knowledge, there is no in-depth study on the application of DWT. In this paper we propose to use Haar Wavelet Transform for time series indexing. The major contributions are: (1) we show that Euclidean distance is preserved in the Haar transformed domain and no false dismissal will occur, (2) we show that Haar transform can outperform DFT through experiments, (3) a new similarity model is suggested to accommodate vertical shift of time series, and (4) a two-phase method is proposed for efficient n-nearest neighbor query in time series databases. textabstractForecasting financial time series using past observations has been a significant topic of interest. While temporal relationships in the data exist, they are difficult to analyze and predict accurately due to the non-linear trends and noise present in the series. We propose to learn these dependencies by a convolutional neural network. In particular the focus is on multivariate time series forecasting. Effectively, we use multiple financial time series as input in the neural network, thus conditioning the forecast of a time series x(t) on both its own history as well as that of a second (or third) time series y(t). Training a model on multiple stock series allows the network to exploit the correlation structure between these series so that the network can learn the market dynamics in shorter sequences of data. We show that long-term temporal dependencies in and between financial time series can be learned by means of a deep convolutional neural network based on the WaveNet model [2]. The network makes use of dilated convolutions applied to multiple time series so that the receptive field of the network is wide enough to learn both short and long-term dependencies. The architecture includes batch normalization and uses a 1 × k convolution with parametrized skip connections from the input time series as well as the time series we condition on, in this way learning long-term interdependencies in an efficient manner [1]. This improves the forecast, while at the same time limiting the requirement for a long historical price series and reducing the noise. Knowing the strong performance of CNNs on classification problems we show that they can be applied successfully to forecasting financial time series, without the need of large samples of data. We compare the performance of the WaveNet model to a state-of-the-art fully convolutional network (FCN), and an autoregressive model popular in econometrics and show that our model is much better able to learn important dependencies in between financial time series resulting in a more robust and accurate forecast. In this paper we study the trade-offs between time series compressibility and partial information hiding and their fundamental implications on how we should introduce uncertainty about individual values by perturbing them. More specifically, if the perturbation does not have the same compressibility properties as the original data, then it can be detected and filtered out, reducing uncertainty. Thus, by making the perturbation "similar" to the original data, we can both preserve the structure of the data better, while simultaneously making breaches harder. However, as data become more compressible, a fraction of the uncertainty can be removed if true values are leaked, revealing how they were perturbed. We formalize these notions, study the above trade-offs on real data and develop practical schemes which strike a good balance and can also be extended for on-the-fly data hiding in a streaming environment. We propose the first differentially private aggregation algorithm for distributed time-series data that offers good practical utility without any trusted server. This addresses two important challenges in participatory data-mining applications where (i) individual users collect temporally correlated time-series data (such as location traces, web history, personal health data), and (ii) an untrusted third-party aggregator wishes to run aggregate queries on the data. To ensure differential privacy for time-series data despite the presence of temporal correlation, we propose the Fourier Perturbation Algorithm (FPAk). Standard differential privacy techniques perform poorly for time-series data. To answer n queries, such techniques can result in a noise of Θ(n) to each query answer, making the answers practically useless if n is large. Our FPAk algorithm perturbs the Discrete Fourier Transform of the query answers. For answering n queries, FPAk improves the expected error from Θ(n) to roughly Θ(k) where k is the number of Fourier coefficients that can (approximately) reconstruct all the n query answers. Our experiments show that k To deal with the absence of a trusted central server, we propose the Distributed Laplace Perturbation Algorithm (DLPA) to add noise in a distributed way in order to guarantee differential privacy. To the best of our knowledge, DLPA is the first distributed differentially private algorithm that can scale with a large number of users: DLPA outperforms the only other distributed solution for differential privacy proposed so far, by reducing the computational load per user from O(U) to O(1) where U is the number of users.