Change Point Detection in Time Series Data using Autoencoders with a Time-Invariant Representation

• URL: http://arxiv.org/abs/2008.09524v2
• Date: Wed, 10 Feb 2021 11:25:07 GMT
• Title: Change Point Detection in Time Series Data using Autoencoders with a Time-Invariant Representation
• Authors: Tim De Ryck, Maarten De Vos, Alexander Bertrand
• Abstract summary: Change point detection (CPD) aims to locate abrupt property changes in time series data. Recent CPD methods demonstrated the potential of using deep learning techniques, but often lack the ability to identify more subtle changes in the autocorrelation statistics of the signal. We employ an autoencoder-based methodology with a novel loss function, through which the used autoencoders learn a partially time-invariant representation that is tailored for CPD.
• Score: 69.34035527763916
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Change point detection (CPD) aims to locate abrupt property changes in time series data. Recent CPD methods demonstrated the potential of using deep learning techniques, but often lack the ability to identify more subtle changes in the autocorrelation statistics of the signal and suffer from a high false alarm rate. To address these issues, we employ an autoencoder-based methodology with a novel loss function, through which the used autoencoders learn a partially time-invariant representation that is tailored for CPD. The result is a flexible method that allows the user to indicate whether change points should be sought in the time domain, frequency domain or both. Detectable change points include abrupt changes in the slope, mean, variance, autocorrelation function and frequency spectrum. We demonstrate that our proposed method is consistently highly competitive or superior to baseline methods on diverse simulated and real-life benchmark data sets. Finally, we mitigate the issue of false detection alarms through the use of a postprocessing procedure that combines a matched filter and a newly proposed change point score. We show that this combination drastically improves the performance of our method as well as all baseline methods.

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