Motion Code: Robust Time Series Classification and Forecasting via Sparse Variational Multi-Stochastic Processes Learning

• URL: http://arxiv.org/abs/2402.14081v3
• Date: Mon, 25 Nov 2024 18:57:35 GMT
• Title: Motion Code: Robust Time Series Classification and Forecasting via Sparse Variational Multi-Stochastic Processes Learning
• Authors: Chandrajit Bajaj, Minh Nguyen,
• Abstract summary: We propose a novel framework that views each time series as a realization of a continuous-time process. This mathematical approach captures dependencies across timestamps and detects hidden, time-varying signals within the noise. Experiments on noisy datasets, including real-world Parkinson's disease sensor tracking, demonstrate Motion Code's strong performance against established benchmarks.
• Score: 3.2857981869020327
• License:
• Abstract: Despite extensive research, time series classification and forecasting on noisy data remain highly challenging. The main difficulties lie in finding suitable mathematical concepts to describe time series and effectively separate noise from the true signals. Unlike traditional methods treating time series as static vectors or fixed sequences, we propose a novel framework that views each time series, regardless of length, as a realization of a continuous-time stochastic process. This mathematical approach captures dependencies across timestamps and detects hidden, time-varying signals within the noise. However, real-world data often involves multiple distinct dynamics, making it insufficient to model the entire process with a single stochastic model. To address this, we assign each dynamic a unique signature vector and introduce the concept of "most informative timestamps" to infer a sparse approximation of the individual dynamics from these vectors. The resulting model, called Motion Code, includes parameters that fully capture diverse underlying dynamics in an integrated manner, enabling simultaneous classification and forecasting of time series. Extensive experiments on noisy datasets, including real-world Parkinson's disease sensor tracking, demonstrate Motion Code's strong performance against established benchmarks for time series classification and forecasting.

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