Distinguishing between classes of time series sampled from dynamic systems is a common challenge in systems and control engineering, for example in the context of health monitoring, fault detection, and quality control. The challenge is increased when no underlying model of a system is known, measurement noise is present, and long signals need to be interpreted. In this paper we address these issues with a new non parametric classifier based on topological signatures. Our model learns classes as weighted kernel density estimates (KDEs) over persistent homology diagrams and predicts new trajectory labels using Sinkhorn divergences on the space of diagram KDEs to quantify proximity. We show that this approach accurately discriminates between states of chaotic systems that are close in parameter space, and its performance is robust to noise.
Time series have previously been analysed using TDA, largely via PH of point clouds constructed using delay embeddings @cite_5 @cite_42 @cite_15 @cite_37 . However delay embeddings require heuristic estimation of the embedding dimension and delay size to be computed beforehand, increase the influence of noise, and lead to a rapid increase in the complexity of computing PH of filtrations on the point cloud, requiring subsampling techniques such as the witness complex @cite_33 @cite_14 @cite_6 . One previous study avoids embeddings but relies on a coarse grained statistic derived from PDs to characterise time series, the persistent entropy @cite_3 . Our method is similar to this since we use a filtration on the time series directly, however we use a metric on the space of persistence diagrams directly rather than on the space of persistent entropy histograms.
@cite_37 @cite_14 @cite_33 @cite_42 @cite_6 @cite_3 @cite_5 @cite_15
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This work introduces a new dataset and framework for the exploration of topological data analysis (TDA) techniques applied to time-series data. We examine the end-toend TDA processing pipeline for persistent homology applied to time-delay embeddings of time series – embeddings that capture the underlying system dynamics from which time series data is acquired. In particular, we consider stability with respect to time series length, the approximation accuracy of sparse filtration methods, and the discriminating ability of persistence diagrams as a feature for learning. We explore these properties across a wide range of time-series datasets spanning multiple domains for single source multi-segment signals as well as multi-source single segment signals. Our analysis and dataset captures the entire TDA processing pipeline and includes time-delay embeddings, persistence diagrams, topological distance measures, as well as kernels for similarity learning and classification tasks for a broad set of time-series data sources. We outline the TDA framework and rationale behind the dataset and provide insights into the role of TDA for time-series analysis as well as opportunities for new work. Abstract This paper describes a new approach for ascertaining the stability of stochastic dynamical systems in their parameter space by examining their time series using topological data analysis (TDA). We illustrate the approach using a nonlinear delayed model that describes the tool oscillations due to self-excited vibrations in turning. Each time series is generated using the Euler-Maruyama method and a corresponding point cloud is obtained using the Takens embedding. The point cloud can then be analyzed using a tool from TDA known as persistent homology. The results of this study show that the described approach can be used for analyzing datasets of delay dynamical systems generated both from numerical simulation and experimental data. The contributions of this paper include presenting for the first time a topological approach for investigating the stability of a class of nonlinear stochastic delay equations, and introducing a new application of TDA to machining processes. This paper addresses the problem of compression of 3D point cloud sequences that are characterized by moving 3D positions and color attributes. As temporally successive point cloud frames share some similarities, motion estimation is key to effective compression of these sequences. It, however, remains a challenging problem as the point cloud frames have varying numbers of points without explicit correspondence information. We represent the time-varying geometry of these sequences with a set of graphs, and consider 3D positions and color attributes of the point clouds as signals on the vertices of the graphs. We then cast motion estimation as a feature-matching problem between successive graphs. The motion is estimated on a sparse set of representative vertices using new spectral graph wavelet descriptors. A dense motion field is eventually interpolated by solving a graph-based regularization problem. The estimated motion is finally used for removing the temporal redundancy in the predictive coding of the 3D positions and the color characteristics of the point cloud sequences. Experimental results demonstrate that our method is able to accurately estimate the motion between consecutive frames. Moreover, motion estimation is shown to bring a significant improvement in terms of the overall compression performance of the sequence. To the best of our knowledge, this is the first paper that exploits both the spatial correlation inside each frame (through the graph) and the temporal correlation between the frames (through the motion estimation) to compress the color and the geometry of 3D point cloud sequences in an efficient way. We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that appear in multidimensional time series. Using a sliding window, we extract time-dependent point cloud data sets, to which we associate a topological space. We detect transient loops that appear in this space, and we measure their persistence. This is encoded in real-valued functions referred to as a 'persistence landscapes'. We quantify the temporal changes in persistence landscapes via their @math -norms. We test this procedure on multidimensional time series generated by various non-linear and non-equilibrium models. We find that, in the vicinity of financial meltdowns, the @math -norms exhibit strong growth prior to the primary peak, which ascends during a crash. Remarkably, the average spectral density at low frequencies of the time series of @math -norms of the persistence landscapes demonstrates a strong rising trend for 250 trading days prior to either dotcom crash on 03 10 2000, or to the Lehman bankruptcy on 09 15 2008. Our study suggests that TDA provides a new type of econometric analysis, which goes beyond the standard statistical measures. The method can be used to detect early warning signals of imminent market crashes. We believe that this approach can be used beyond the analysis of financial time series presented here.