相关论文
2017 - Eng. Appl. Artif. Intell.
A deep learning approach for credit scoring using credit default swaps

After 20072008 crisis, it is clear that corporate credit scoring is becoming a key role in credit risk management. In this paper, we investigate the performances of credit scoring models applied to CDS data sets. The classification performance of deep learning algorithm such as deep belief networks with Restricted Boltzmann Machines are evaluated and compared with some popular credit scoring models such as logistic regression, multi-layer perceptron and support vector machine. The performance is assessed using the classification accuracy and the area under the receiver operating characteristic curve. It is found that DBN yields the best performance.

2009 - ICANNGA
Feature-Based Clustering for Electricity Use Time Series Data

Time series clustering has been shown effective in providing useful information in various applications. This paper presents an efficient computational method for time series clustering and its application focusing creation of more accurate electricity use load curves for small customers. Presented approach was based on extraction of statistical features and their use in feature-based clustering of customer specific hourly measured electricity use data. The feature-based clustering was able to cluster time series using just a set of derive statistical features. The main advantages of this method were; ability to reduce the dimensionality of original time series, it is less sensitive to missing values and it can handle different lengths of time series. The performance of the approach was evaluated using real hourly measured data for 1035 customers during 84 days testing time period. After all, clustering resulted into more accurate load curves for this set of customers than present load curves used earlier. This kind of approach helps energy companies to take advantage of new hourly information for example in electricity distribution network planning, load management, customer service and billing.

2016 - Genetics
Bayesian Inference of Natural Selection from Allele Frequency Time Series

The advent of accessible ancient DNA technology now allows the direct ascertainment of allele frequencies in ancestral populations, thereby enabling the use of allele frequency time series to detect and estimate natural selection. Such direct observations of allele frequency dynamics are expected to be more powerful than inferences made using patterns of linked neutral variation obtained from modern individuals. We developed a Bayesian method to make use of allele frequency time series data and infer the parameters of general diploid selection, along with allele age, in nonequilibrium populations. We introduce a novel path augmentation approach, in which we use Markov chain Monte Carlo to integrate over the space of allele frequency trajectories consistent with the observed data. Using simulations, we show that this approach has good power to estimate selection coefficients and allele age. Moreover, when applying our approach to data on horse coat color, we find that ignoring a relevant demographic history can significantly bias the results of inference. Our approach is made available in a C++ software package.

2007 - Expert Syst. Appl.
A hybrid SARIMA and support vector machines in forecasting the production values of the machinery industry in Taiwan

Abstract This paper proposes a hybrid methodology that exploits the unique strength of the seasonal autoregressive integrated moving average (SARIMA) model and the support vector machines (SVM) model in forecasting seasonal time series. The seasonal time series data of Taiwan’s machinery industry production values were used to examine the forecasting accuracy of the proposed hybrid model. The forecasting performance was compared among three models, i.e., the hybrid model, SARIMA models and the SVM models, respectively. Among these methods, the normalized mean square error (NMSE) and the mean absolute percentage error (MAPE) of the hybrid model were the lowest. The hybrid model was also able to forecast certain significant turning points of the test time series.

2002 - 2002 IEEE International Conference on Data Mining, 2002. Proceedings.
Estimating the number of segments in time series data using permutation tests

Segmentation is a popular technique for discovering structure in time series data. We address the largely open problem of estimating the number of segments that can be reliably discovered. We introduce a novel method for the problem, called Pete. Pete is based on permutation testing. The problem is an instance of model (dimension) selection. The proposed method analyzes the possible overfit of a model to the available data rather than using a term for penalizing model complexity. In this respect the approach is more similar to cross-validation than regularization based techniques (e.g., AIC, BIC, MDL, MML). Furthermore, the method produces a p value for each increase in the number of segments. This gives the user an overview of the statistical significance of segmentations. We evaluate the performance of the proposed method using both synthetic and real time series data. The experiments show that permutation testing gives realistic results for the number of reliably identifiable segments and compares favorably with Monte Carlo cross-validation (MCCV) and commonly used BIC criteria.

2016 - IJCAI
ST-MVL: Filling Missing Values in Geo-Sensory Time Series Data

Many sensors have been deployed in the physical world, generating massive geo-tagged time series data. In reality, readings of sensors are usually lost at various unexpected moments because of sensor or communication errors. Those missing readings do not only affect real-time monitoring but also compromise the performance of further data analysis. In this paper, we propose a spatio-temporal multi-view-based learning (ST-MVL) method to collectively fill missing readings in a collection of geosensory time series data, considering 1) the temporal correlation between readings at different timestamps in the same series and 2) the spatial correlation between different time series. Our method combines empirical statistic models, consisting of Inverse Distance Weighting and Simple Exponential Smoothing, with data-driven algorithms, comprised of User-based and Item-based Collaborative Filtering. The former models handle general missing cases based on empirical assumptions derived from history data over a long period, standing for two global views from spatial and temporal perspectives respectively. The latter algorithms deal with special cases where empirical assumptions may not hold, based on recent contexts of data, denoting two local views from spatial and temporal perspectives respectively. The predictions of the four views are aggregated to a final value in a multi-view learning algorithm. We evaluate our method based on Beijing air quality and meteorological data, finding advantages to our model compared with ten baseline approaches.

1994
Neural Network Time Series: Forecasting of Financial Markets

From the Publisher: A neural network is a computer program that can recognise patterns in data, learn from this and (in the case of time series data) make forecasts of future patterns. There are now over 20 commercially available neural network programs designed for use on financial markets and there have been some notable reports of their successful application. However, like any other computer program, neural networks are only as good as the data they are given and the questions that are asked of them. Proper use of a neural network involves spending time understanding and cleaning the data: removing errors, preprocessing and postprocessing. This book takes the reader beyond the 'black-box' approach to neural networks and provides the knowledge that is required for their proper design and use in financial markets forecasting - with an emphasis on futures trading. Comprehensively specified benchmarks are provided (including weight values), drawn from time series examples in chaos theory and financial futures. The book covers data preprocessing, random walk theory, trading systems and risk analysis. It also provides a literature review, a tutorial on backpropagation, and a chapter on further reading and software. For the professional financial forecaster this book is without parallel as a comprehensive, practical and up-to-date guide to this important subject.

2006 - ISI
Motion-Alert: Automatic Anomaly Detection in Massive Moving Objects

With recent advances in sensory and mobile computing technology, enormous amounts of data about moving objects are being collected. With such data, it becomes possible to automatically identify suspicious behavior in object movements. Anomaly detection in massive sets of moving objects has many important applications, especially in surveillance, law enforcement, and homeland security. Due to the sheer volume of spatiotemporal and non-spatial data (such as weather and object type) associated with moving objects, it is challenging to develop a method that can efficiently and effectively detect anomalies in complex scenarios. The problem is further complicated by the fact that anomalies may occur at various levels of abstraction and be associated with different time and location granularities. In this paper, we analyze the problem of anomaly detection in moving objects and propose an efficient and scalable classification method, Motion-Alert, which proceeds with the following three steps. Object movement features, called motifs, are extracted from the object paths. Each path consists of a sequence of motif expressions, associated with the values related to time and location. To discover anomalies in object movements, motif-based generalization is performed that clusters similar object movement fragments and generalizes the movements based on the associated motifs. With motif-based generalization, objects are put into a multi-level feature space and are classified by a classifier that can handle high-dimensional feature spaces. We implemented the above method as one of the core components in our moving-object anomaly detection system, motion-alert. Our experiments show that the system is more accurate than traditional classification techniques.

2005 - Data Mining and Knowledge Discovery Handbook
Mining Time Series Data

Much of the world’s supply of data is in the form of time series. In the last decade, there has been an explosion of interest in mining time series data. A number of new algorithms have been introduced to classify, cluster, segment, index, discover rules, and detect anomalies/novelties in time series. While these many different techniques used to solve these problems use a multitude of different techniques, they all have one common factor; they require some high level representation of the data, rather than the original raw data. These high level representations are necessary as a feature extraction step, or simply to make the storage, transmission, and computation of massive dataset feasible. A multitude of representations have been proposed in the literature, including spectral transforms, wavelets transforms, piecewise polynomials, eigenfunctions, and symbolic mappings. This chapter gives a high-level survey of time series Data Mining tasks, with an emphasis on time series representations.

2017 - ArXiv
Robust, Deep and Inductive Anomaly Detection

PCA is a classical statistical technique whose simplicity and maturity has seen it find widespread use as an anomaly detection technique. However, it is limited in this regard by being sensitive to gross perturbations of the input, and by seeking a linear subspace that captures normal behaviour. The first issue has been dealt with by robust PCA, a variant of PCA that explicitly allows for some data points to be arbitrarily corrupted, however, this does not resolve the second issue, and indeed introduces the new issue that one can no longer inductively find anomalies on a test set. This paper addresses both issues in a single model, the robust autoencoder. This method learns a nonlinear subspace that captures the majority of data points, while allowing for some data to have arbitrary corruption. The model is simple to train and leverages recent advances in the optimisation of deep neural networks. Experiments on a range of real-world datasets highlight the model's effectiveness.

2018 - Pattern Recognit. Lett.
A study of deep convolutional auto-encoders for anomaly detection in videos

Deep convolutional auto-encoder for anomaly detection in videos.Fusion of low-level (frames) with high-level (appearance and motion features) information.Study of the influence of video complexity in the classification performance.Use of reconstruction errors from convolutional auto-encoder as anomaly scores.Case studies with real-world video clips. The detection of anomalous behaviors in automated video surveillance is a recurrent topic in recent computer vision research. Depending on the application field, anomalies can present different characteristics and challenges. Convolutional Neural Networks have achieved the state-of-the-art performance for object recognition in recent years, since they learn features automatically during the training process. From the anomaly detection perspective, the Convolutional Autoencoder (CAE) is an interesting choice, since it captures the 2D structure in image sequences during the learning process. This work uses a CAE in the anomaly detection context, by applying the reconstruction error of each frame as an anomaly score. By exploring the CAE architecture, we also propose a method for aggregating high-level spatial and temporal features with the input frames and investigate how they affect the CAE performance. An easy-to-use measure of video spatial complexity was devised and correlated with the classification performance of the CAE. The proposed methods were evaluated by means of several experiments with public-domain datasets. The promising results support further research in this area.

1989 - Econometric Theory
Testing for Unit Roots in Time Series Data

Let Yt satisfy the stochastic difference equation for t = 1,2,…, where et are independent and identically distributed random variables with mean zero and variance σ2 and the initial conditions (Y−p+1,…, Y0) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m1,m2,…,mp of satisfy the hypothesis Hd: m1 = … = md = 1 and |mj| < 1 for j = d + 1,…,p. We present a reparameterization of the model for Yt that is convenient for testing the hypothesis Hd. We consider the asymptotic properties of (i) a likelihood ratio type “F-statistic” for testing the hypothesis Hd, (ii) a likelihood ratio type t-statistic for testing the hypothesis Hd against the alternative Hd−1. Using these asymptotic results, we obtain two sequential testing procedures that are asymptotically consistent.

2008 - 2008 11th International Conference on Information Fusion
Statistical analysis of motion patterns in AIS Data: Anomaly detection and motion prediction

The paper is devoted to statistical analysis of vessel motion patterns in the ports and waterways using AIS ship self-reporting data. From the real historic AIS data we extract motion patterns which are then used to construct the corresponding motion anomaly detectors. This is carried out in the framework of adaptive kernel density estimation. The anomaly detector is then sequentially applied to the real incoming AIS data for the purpose of anomaly detection. Under the null hypothesis (no anomaly), using the historic motion pattern data, we predict the motion of vessels using the Gaussian sum tracking filter.

2008 - IMC '08
An empirical evaluation of entropy-based traffic anomaly detection

Entropy-based approaches for anomaly detection are appealing since they provide more fine-grained insights than traditional traffic volume analysis. While previous work has demonstrated the benefits of entropy-based anomaly detection, there has been little effort to comprehensively understand the detection power of using entropy-based analysis of multiple traffic distributions in conjunction with each other. We consider two classes of distributions: flow-header features (IP addresses, ports, and flow-sizes), and behavioral features (degree distributions measuring the number of distinct destination/source IPs that each host communicates with). We observe that the timeseries of entropy values of the address and port distributions are strongly correlated with each other and provide very similar anomaly detection capabilities. The behavioral and flow size distributions are less correlated and detect incidents that do not show up as anomalies in the port and address distributions. Further analysis using synthetically generated anomalies also suggests that the port and address distributions have limited utility in detecting scan and bandwidth flood anomalies. Based on our analysis, we discuss important implications for entropy-based anomaly detection.

2019 - IEEE Transactions on Vehicular Technology
Driver Activity Recognition for Intelligent Vehicles: A Deep Learning Approach

Driver decisions and behaviors are essential factors that can affect the driving safety. To understand the driver behaviors, a driver activities recognition system is designed based on the deep convolutional neural networks (CNN) in this paper. Specifically, seven common driving activities are identified, which are the normal driving, right mirror checking, rear mirror checking, left mirror checking, using in-vehicle radio device, texting, and answering the mobile phone, respectively. Among these activities, the first four are regarded as normal driving tasks, while the rest three are classified into the distraction group. The experimental images are collected using a low-cost camera, and ten drivers are involved in the naturalistic data collection. The raw images are segmented using the Gaussian mixture model to extract the driver body from the background before training the behavior recognition CNN model. To reduce the training cost, transfer learning method is applied to fine tune the pre-trained CNN models. Three different pre-trained CNN models, namely, AlexNet, GoogLeNet, and ResNet50 are adopted and evaluated. The detection results for the seven tasks achieved an average of 81.6% accuracy using the AlexNet, 78.6% and 74.9% accuracy using the GoogLeNet and ResNet50, respectively. Then, the CNN models are trained for the binary classification task and identify whether the driver is being distracted or not. The binary detection rate achieved 91.4% accuracy, which shows the advantages of using the proposed deep learning approach. Finally, the real-world application are analyzed and discussed.

2005 - Pattern Recognit.
Clustering of time series data - a survey

Time series clustering has been shown effective in providing useful information in various domains. There seems to be an increased interest in time series clustering as part of the effort in temporal data mining research. To provide an overview, this paper surveys and summarizes previous works that investigated the clustering of time series data in various application domains. The basics of time series clustering are presented, including general-purpose clustering algorithms commonly used in time series clustering studies, the criteria for evaluating the performance of the clustering results, and the measures to determine the similarity/dissimilarity between two time series being compared, either in the forms of raw data, extracted features, or some model parameters. The past researchs are organized into three groups depending upon whether they work directly with the raw data either in the time or frequency domain, indirectly with features extracted from the raw data, or indirectly with models built from the raw data. The uniqueness and limitation of previous research are discussed and several possible topics for future research are identified. Moreover, the areas that time series clustering have been applied to are also summarized, including the sources of data used. It is hoped that this review will serve as the steppingstone for those interested in advancing this area of research.

2016 - 2016 IEEE 13th International Symposium on Biomedical Imaging (ISBI)
Accelerating magnetic resonance imaging via deep learning

This paper proposes a deep learning approach for accelerating magnetic resonance imaging (MRI) using a large number of existing high quality MR images as the training datasets. An off-line convolutional neural network is designed and trained to identify the mapping relationship between the MR images obtained from zero-filled and fully-sampled k-space data. The network is not only capable of restoring fine structures and details but is also compatible with online constrained reconstruction methods. Experimental results on real MR data have shown encouraging performance of the proposed method for efficient and accurate imaging.

2019 - Electronics
A State-of-the-Art Survey on Deep Learning Theory and Architectures

In recent years, deep learning has garnered tremendous success in a variety of application domains. This new field of machine learning has been growing rapidly and has been applied to most traditional application domains, as well as some new areas that present more opportunities. Different methods have been proposed based on different categories of learning, including supervised, semi-supervised, and un-supervised learning. Experimental results show state-of-the-art performance using deep learning when compared to traditional machine learning approaches in the fields of image processing, computer vision, speech recognition, machine translation, art, medical imaging, medical information processing, robotics and control, bioinformatics, natural language processing, cybersecurity, and many others. This survey presents a brief survey on the advances that have occurred in the area of Deep Learning (DL), starting with the Deep Neural Network (DNN). The survey goes on to cover Convolutional Neural Network (CNN), Recurrent Neural Network (RNN), including Long Short-Term Memory (LSTM) and Gated Recurrent Units (GRU), Auto-Encoder (AE), Deep Belief Network (DBN), Generative Adversarial Network (GAN), and Deep Reinforcement Learning (DRL). Additionally, we have discussed recent developments, such as advanced variant DL techniques based on these DL approaches. This work considers most of the papers published after 2012 from when the history of deep learning began. Furthermore, DL approaches that have been explored and evaluated in different application domains are also included in this survey. We also included recently developed frameworks, SDKs, and benchmark datasets that are used for implementing and evaluating deep learning approaches. There are some surveys that have been published on DL using neural networks and a survey on Reinforcement Learning (RL). However, those papers have not discussed individual advanced techniques for training large-scale deep learning models and the recently developed method of generative models.

2019 - Frontiers in Aging Neuroscience
Deep Learning in Alzheimer's Disease: Diagnostic Classification and Prognostic Prediction Using Neuroimaging Data

Deep learning, a state-of-the-art machine learning approach, has shown outstanding performance over traditional machine learning in identifying intricate structures in complex high-dimensional data, especially in the domain of computer vision. The application of deep learning to early detection and automated classification of Alzheimer's disease (AD) has recently gained considerable attention, as rapid progress in neuroimaging techniques has generated large-scale multimodal neuroimaging data. A systematic review of publications using deep learning approaches and neuroimaging data for diagnostic classification of AD was performed. A PubMed and Google Scholar search was used to identify deep learning papers on AD published between January 2013 and July 2018. These papers were reviewed, evaluated, and classified by algorithm and neuroimaging type, and the findings were summarized. Of 16 studies meeting full inclusion criteria, 4 used a combination of deep learning and traditional machine learning approaches, and 12 used only deep learning approaches. The combination of traditional machine learning for classification and stacked auto-encoder (SAE) for feature selection produced accuracies of up to 98.8% for AD classification and 83.7% for prediction of conversion from mild cognitive impairment (MCI), a prodromal stage of AD, to AD. Deep learning approaches, such as convolutional neural network (CNN) or recurrent neural network (RNN), that use neuroimaging data without pre-processing for feature selection have yielded accuracies of up to 96.0% for AD classification and 84.2% for MCI conversion prediction. The best classification performance was obtained when multimodal neuroimaging and fluid biomarkers were combined. Deep learning approaches continue to improve in performance and appear to hold promise for diagnostic classification of AD using multimodal neuroimaging data. AD research that uses deep learning is still evolving, improving performance by incorporating additional hybrid data types, such as—omics data, increasing transparency with explainable approaches that add knowledge of specific disease-related features and mechanisms.

2017 - IEEE Transactions on Image Processing
Reducing Complexity of HEVC: A Deep Learning Approach

High efficiency video coding (HEVC) significantly reduces bit rates over the preceding H.264 standard but at the expense of extremely high encoding complexity. In HEVC, the quad-tree partition of the coding unit (CU) consumes a large proportion of the HEVC encoding complexity, due to the brute-force search for rate-distortion optimization (RDO). Therefore, this paper proposes a deep learning approach to predict the CU partition for reducing the HEVC complexity at both intra-and inter-modes, which is based on convolutional neural network (CNN) and long- and short-term memory (LSTM) network. First, we establish a large-scale database including substantial CU partition data for the HEVC intra- and inter-modes. This enables deep learning on the CU partition. Second, we represent the CU partition of an entire coding tree unit in the form of a hierarchical CU partition map (HCPM). Then, we propose an early terminated hierarchical CNN (ETH-CNN) for learning to predict the HCPM. Consequently, the encoding complexity of intra-mode HEVC can be drastically reduced by replacing the brute-force search with ETH-CNN to decide the CU partition. Third, an ETH-LSTM is proposed to learn the temporal correlation of the CU partition. Then, we combine the ETH-LSTM and the ETH-CNN to predict the CU partition for reducing the HEVC complexity at inter-mode. Finally, experimental results show that our approach outperforms the other state-of-the-art approaches in reducing the HEVC complexity at both intra- and inter-modes.

DeepAnT: A Deep Learning Approach for Unsupervised Anomaly Detection in Time Series

Andreas Dengel
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Shoaib Ahmed Siddiqui
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Sheraz Ahmed
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Mohsin Munir
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A. Dengel
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Sheraz Ahmed
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Mohsin Munir

Abstract:Traditional distance and density-based anomaly detection techniques are unable to detect periodic and seasonality related point anomalies which occur commonly in streaming data, leaving a big gap in time series anomaly detection in the current era of the IoT. To address this problem, we present a novel deep learning-based anomaly detection approach (DeepAnT) for time series data, which is equally applicable to the non-streaming cases. DeepAnT is capable of detecting a wide range of anomalies, i.e., point anomalies, contextual anomalies, and discords in time series data. In contrast to the anomaly detection methods where anomalies are learned, DeepAnT uses unlabeled data to capture and learn the data distribution that is used to forecast the normal behavior of a time series. DeepAnT consists of two modules: time series predictor and anomaly detector. The time series predictor module uses deep convolutional neural network (CNN) to predict the next time stamp on the defined horizon. This module takes a window of time series (used as a context) and attempts to predict the next time stamp. The predicted value is then passed to the anomaly detector module, which is responsible for tagging the corresponding time stamp as normal or abnormal. DeepAnT can be trained even without removing the anomalies from the given data set. Generally, in deep learning-based approaches, a lot of data are required to train a model. Whereas in DeepAnT, a model can be trained on relatively small data set while achieving good generalization capabilities due to the effective parameter sharing of the CNN. As the anomaly detection in DeepAnT is unsupervised, it does not rely on anomaly labels at the time of model generation. Therefore, this approach can be directly applied to real-life scenarios where it is practically impossible to label a big stream of data coming from heterogeneous sensors comprising of both normal as well as anomalous points. We have performed a detailed evaluation of 15 algorithms on 10 anomaly detection benchmarks, which contain a total of 433 real and synthetic time series. Experiments show that DeepAnT outperforms the state-of-the-art anomaly detection methods in most of the cases, while performing on par with others.

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