RobustTrend: A Huber Loss with a Combined First and Second Order Difference Regularization for Time Series Trend Filtering

Extracting the underlying trend signal is a crucial step to facilitate time series analysis like forecasting and anomaly detection. Besides noise signal, time series can contain not only outliers but also abrupt trend changes in real-world scenarios. To deal with these challenges, we propose a robust trend filtering algorithm based on robust statistics and sparse learning. Specifically, we adopt the Huber loss to suppress outliers, and utilize a combination of the first order and second order difference on the trend component as regularization to capture both slow and abrupt trend changes. Furthermore, an efficient method is designed to solve the proposed robust trend filtering based on majorization minimization (MM) and alternative direction method of multipliers (ADMM). We compared our proposed robust trend filter with other nine state-of-the-art trend filtering algorithms on both synthetic and real-world datasets. The experiments demonstrate that our algorithm outperforms existing methods.

[1]  Xiaomin Song,et al.  RobustSTL: A Robust Seasonal-Trend Decomposition Algorithm for Long Time Series , 2018, AAAI.

[2]  Bamidele Mustapha Oseni,et al.  Robust Regression Using Multiple Repeated Median of Slope , 2017 .

[3]  Eric Ghysels,et al.  Editorial Announcement , 2004 .

[4]  Eric R Ziegel,et al.  Encyclopedia of Environmetrics Vols. 1-4 , 2002, Technometrics.

[5]  Hansheng Wang,et al.  Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso , 2007 .

[6]  K. Pearson,et al.  Biometrika , 1902, The American Naturalist.

[7]  Tony F. Chan,et al.  The digital TV filter and nonlinear denoising , 2001, IEEE Trans. Image Process..

[8]  Roland Fried,et al.  Robust filtering of time series with trends , 2004 .

[9]  James G. Scott,et al.  Mixtures, envelopes and hierarchical duality , 2014, 1406.0177.

[10]  Rob J Hyndman,et al.  Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing , 2011 .

[11]  Irma J. Terpenning,et al.  STL : A Seasonal-Trend Decomposition Procedure Based on Loess , 1990 .

[12]  Kenneth Lange,et al.  Sharp quadratic majorization in one dimension , 2009, Comput. Stat. Data Anal..

[13]  A. Field Communications , 1963, The Journal of Asian Studies.

[14]  Dimitri P. Bertsekas,et al.  On the Douglas—Rachford splitting method and the proximal point algorithm for maximal monotone operators , 1992, Math. Program..

[15]  P. Maass,et al.  A Review of Some Modern Approaches to the Problem of Trend Extraction , 2012 .

[16]  Zhaohua Wu,et al.  On the trend, detrending, and variability of nonlinear and nonstationary time series , 2007, Proceedings of the National Academy of Sciences.

[17]  R. Tibshirani,et al.  Sparsity and smoothness via the fused lasso , 2005 .

[18]  P. Young,et al.  Time series analysis, forecasting and control , 1972, IEEE Transactions on Automatic Control.

[19]  Prabhu Babu,et al.  Majorization-Minimization Algorithms in Signal Processing, Communications, and Machine Learning , 2017, IEEE Transactions on Signal Processing.

[20]  Stephen P. Boyd,et al.  1 Trend Filtering , 2009, SIAM Rev..

[21]  P. Cochat,et al.  Et al , 2008, Archives de pediatrie : organe officiel de la Societe francaise de pediatrie.

[22]  E. Prescott,et al.  Postwar U.S. Business Cycles: An Empirical Investigation , 1997 .

[23]  J. A. Salvato John wiley & sons. , 1994, Environmental science & technology.

[24]  Donald B. Percival,et al.  Wavelet-Based Trend Detection and Estimation† , 2014 .

[25]  R. Tibshirani Adaptive piecewise polynomial estimation via trend filtering , 2013, 1304.2986.

[26]  Patrick Flandrin,et al.  Trend Filtering: Empirical Mode Decompositions versus ℓ1 and Hodrick-Prescott , 2011, Adv. Data Sci. Adapt. Anal..

[27]  Svetha Venkatesh,et al.  Efficient Algorithms for Robust Recovery of Images From Compressed Data , 2012, IEEE Transactions on Image Processing.

[28]  ScienceDirect Computational statistics & data analysis , 1983 .

[29]  Ryan J. Tibshirani,et al.  Fast and Flexible ADMM Algorithms for Trend Filtering , 2014, ArXiv.

[30]  R. Fildes Journal of the American Statistical Association : William S. Cleveland, Marylyn E. McGill and Robert McGill, The shape parameter for a two variable graph 83 (1988) 289-300 , 1989 .

[31]  George Athanasopoulos,et al.  Forecasting: principles and practice , 2013 .

[32]  Norden E. Huang,et al.  Ensemble Empirical Mode Decomposition: a Noise-Assisted Data Analysis Method , 2009, Adv. Data Sci. Adapt. Anal..

[33]  Elena Fedorova,et al.  The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions , 2016 .

[34]  Taylor Francis Online,et al.  Journal of computational and graphical statistics : a joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America. , 1992 .

[35]  Stephen P. Boyd,et al.  Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers , 2011, Found. Trends Mach. Learn..