The characterisation of time-series data via their most salient features is extremely important in a range of machine learning task, not least of all with regards to classification and clustering. While there exist many feature extraction techniques suitable for non-intermittent time-series data, these approaches are not always appropriate for intermittent time-series data, where intermittency is characterized by constant values for large periods of time punctuated by sharp and transient increases or decreases in value. Motivated by this, we present aggregation, mode decomposition and projection (AMP) a feature extraction technique particularly suited to intermittent time-series data which contain time-frequency patterns. For our method all individual time-series within a set are combined to form a non-intermittent aggregate. This is decomposed into a set of components which represent the intrinsic time-frequency signals within the data set. Individual time-series can then be _t to these components to obtain a set of numerical features that represent their intrinsic time-frequency patterns. To demonstrate the effectiveness of AMP, we evaluate against the real word task of clustering intermittent time-series data. Using synthetically generated data we show that a clustering approach which uses the features derived from AMP significantly outperforms traditional clustering methods. Our technique is further exemplified on a real world data set where AMP can be used to discover groupings of individuals which correspond to real world sub-populations.
Frequency domain based approaches are most commonly underpinned by the discrete Fourier or wavelet transformation of the data. For example Vlachos used periodic features obtained partly via the direct Fourier decomposition for clustering of MSN query log and electrocardiography time-series data @cite_45 . Features derived from wavelet representations have also been used to cluster synthetic and electrical signals @cite_26 .
@cite_45 @cite_26
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This work motivates the need for more flexible structural similarity measures between time-series sequences, which are based on the extraction of important periodic features. Specifically, we present non-parametric methods for accurate periodicity detection and we introduce new periodic distance measures for time-series sequences. The goal of these tools and techniques are to assist in detecting, monitoring and visualizing structural periodic changes. It is our belief that these methods can be directly applicable in the manufacturing industry for preventive maintenance and in the medical sciences for accurate classification and anomaly detection. A wavelet-based procedure for clustering signals is proposed. It combines an individual signal preprocessing by wavelet denoising, a dimensionality reduction step by wavelet compression and a classical clustering strategy applied to a suitably chosen set of wavelet coefficients. The ability of wavelets to cope with signals of arbitrary or time-dependent regularity as well as to concentrate signal energy in few large coefficients, offers a useful tool to carry out both significant noise reduction and efficient compression. A simulated example and an electrical dataset are considered to illustrate the value of introducing wavelets for clustering such complex data.