Abstract
Many time series data mining algorithms work by reasoning about the relationships the conserved shapes of subsequences. To facilitate this, the Matrix Profile is a data structure that annotates a time series by recording each subsequence’s Euclidean distance to its nearest neighbor. In recent years, the community has shown that using the Matrix Profile it is possible to discover many useful properties of a time series, including repeated behaviors (motifs), anomalies, evolving patterns, regimes, etc. However, the Matrix Profile is limited to representing the relationship between the subsequence’s shapes. It is understood that, for some domains, useful information is conserved not in the subsequence’s shapes, but in the subsequence’s features. In recent years, a new set of features for time series called catch22 has revolutionized feature-based mining of time series. Combining these two ideas seems to offer many possibilities for novel data mining applications; however, there are two difficulties in attempting this. A direct application of the Matrix Profile with the catch22 features would be prohibitively slow. Less obviously, as we will demonstrate, in almost all domains, using all twenty-two of the catch22 features produces poor results, and we must somehow select the subset appropriate for the domain. In this work, we introduce novel algorithms to solve both problems and demonstrate that, for most domains, the proposed C22MP is a state-of-the-art anomaly detector.
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C22MP (2022) Supporting webpage: sites.google.com/view/c22mp/home.
Notes
The two most cited datasets for evaluating TSAD algorithms are tiny: NY-Taxi (length 10,320) and Yahoo! Webscope (mean length 1415) [49].
This contrived example is not as implausible as it may seem. Suppose we are monitoring the accelerometer time series from a smartphone in a user’s pocket. If the user takes a call, and then returns the phone to her pocket upside down, the Y-axis time series will flip upside down, but will not be flipped backwards.
In blog forums, private conversations, openreview.net etc.
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Acknowledgements
We thank all the creators of the data sets used in this work and the original authors of catch22, who were very helpful with their time [33].
Funding
Funding was provided by gifts from Google, Mitsubishi and by NSF Award 2103976.
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ST involved in algorithm design, writing, and implementation. YL involved in design of algorithm comparison measure. RW involved in optimization of code. TVAS involved in design of normalization algorithm. HDC involved in design of biological (mouse) experiments. RM involved in design of DNA experiments. EK involved in writing and editing.
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Tafazoli, S., Lu, Y., Wu, R. et al. C22MP: the marriage of catch22 and the matrix profile creates a fast, efficient and interpretable anomaly detector. Knowl Inf Syst 66, 4789–4823 (2024). https://doi.org/10.1007/s10115-024-02107-5
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DOI: https://doi.org/10.1007/s10115-024-02107-5