Distribution Agnostic Symbolic Representations for Time Series Dimensionality Reduction and Online Anomaly Detection

• URL: http://arxiv.org/abs/2105.09592v1
• Date: Thu, 20 May 2021 08:35:50 GMT
• Title: Distribution Agnostic Symbolic Representations for Time Series Dimensionality Reduction and Online Anomaly Detection
• Authors: Konstantinos Bountrogiannis, George Tzagkarakis, Panagiotis Tsakalides
• Abstract summary: This paper proposes two novel data-driven SAX-based symbolic representations, distinguished by their discretization steps. The proposed representations possess all the attractive properties of the conventional SAX method.
• Score: 8.00114449574708
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Due to the importance of the lower bounding distances and the attractiveness of symbolic representations, the family of symbolic aggregate approximations (SAX) has been used extensively for encoding time series data. However, typical SAX-based methods rely on two restrictive assumptions; the Gaussian distribution and equiprobable symbols. This paper proposes two novel data-driven SAX-based symbolic representations, distinguished by their discretization steps. The first representation, oriented for general data compaction and indexing scenarios, is based on the combination of kernel density estimation and Lloyd-Max quantization to minimize the information loss and mean squared error in the discretization step. The second method, oriented for high-level mining tasks, employs the Mean-Shift clustering method and is shown to enhance anomaly detection in the lower-dimensional space. Besides, we verify on a theoretical basis a previously observed phenomenon of the intrinsic process that results in a lower than the expected variance of the intermediate piecewise aggregate approximation. This phenomenon causes an additional information loss but can be avoided with a simple modification. The proposed representations possess all the attractive properties of the conventional SAX method. Furthermore, experimental evaluation on real-world datasets demonstrates their superiority compared to the traditional SAX and an alternative data-driven SAX variant.

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