Statistical Methods for Time Series Data and Change Point Detection

Hui Shen Chair
McGill, Statistics
 
Sunday, Aug 3: 4:00 PM - 5:50 PM
4028 
Contributed Papers 
Music City Center 
Room: CC-103A 

Main Sponsor

Section on Statistical Learning and Data Science

Presentations

Data-driven Tapered Spectral Density Features from Time Series Data

We develop a parameterized and learnable statistical model of the frequency domain characteristics of signals, inspired by tapered spectral density methods. The proposed model is designed to capture intricate time-frequency dependencies. We show how we can learn the model from data using a contrastive training approach, and how the proposed model can encompass the classical multi-taper spectral density type models. We validate our model on two types of time series: optogenetically-evoked neural recordings and acoustic scene audio recordings. We evaluate the effectiveness of the learned representations on a classical in-domain classification task, and a cross-domain task to explore its external validity. Preliminary experimental results show the promises and the challenges of the proposed approach. 

Keywords

signal processing

feature representation

self-supervised learning

optogenetics

time series

multitaper 

Co-Author(s)

Ronak Mehta
Azadeh Yazdan, University of Washington
Zaid Harchaoui, University of Washington

First Author

Alex Bank

Presenting Author

Alex Bank

WITHDRAWN: Deep Learning Versus Machine Learning in Predicting the Future Seasonal Time Series Data

The prediction performances of neural networks and the conventional inference method of seasonal time series analysis have been compared both computationally and theoretically. Theorems and extensive simulations have also been provided to demonstrate the superiority of Time Series Modelling over Neural Network Modelling. 

Keywords

Activation Functions

Feed Forward Neural Network

Monte Carlo Simulation

Projection Pursuit Regression 

First Author

Mian Adnan, University At Albany

Presenting Author

Mian Adnan, University At Albany

Enhancing Subthreshold Signal Detection: A Multiscale Approach with Adaptive Noise Modeling

Stochastic resonance (SR), a nonlinear phenomenon originally introduced in climate modeling, enhances signal detection by leveraging optimal noise levels within nonlinear systems. Traditional SR techniques, primarily based on single-threshold detectors, are limited to time-invariant signals and often require excessive noise for detecting weak signals, which can degrade complex signal characteristics. To address these limitations, this study explores multi-threshold systems and the application of SR in the frequency/multiscale domain using wavelet transforms. We propose a double-threshold detection system that integrates two single-threshold detectors to enhance weak signal detection. The proposed system is evaluated in both the original data and multiscale domains using simulated and real-world test signals, and its performance is benchmarked against existing detectors. Experimental results demonstrate that, in the original data domain, the proposed double-threshold detector significantly improves weak signal detection compared to conventional single-threshold approaches. Performance is further enhanced in the frequency domain, requiring lower noise levels. 

Keywords

Stochastic resonance

Multiscale signal processing

Fisher information

Wavelet transforms 

Co-Author(s)

Ursula U Muller, Texas A&M University
Brani Vidakovic, Texas A&M University, Statistics Department

First Author

Horahenage Dixon Vimalajeewa

Presenting Author

Horahenage Dixon Vimalajeewa

Hidden Markov models for prediction smoothing in time series classification models

Predicting hidden states using time-series classification models can result in frequent and erratic switching between the predicted states. This is particularly evident in applications with a high temporal resolution and during transitions between states. In the current investigation, a hidden Markov model (HMM) is fitted to the predicted states from trained time-series classification models to smooth these predictions and eliminate any high-frequency and/or erratic state switching observed in the outcomes. The HMM smoothing approach used in this study is shown to be highly effective at this task and is demonstrated in a case study using both mini-rocket and long-short-term-memory time series state predictions. 

Keywords

prediction smoothing

time series classification

hidden markov model 

Co-Author(s)

David Friskin, Matrix Design Africa
Judy Monyebodi, Matrix Design Africa

First Author

Warren Brettenny, Matrix Design Africa

Presenting Author

Warren Brettenny, Matrix Design Africa

Optimal Change Point Detection in Longitudinal Data: A Two-Step Approach

Addressing non-linear trends in longitudinal data with irregular measurements involves fitting linear trends in segments joined at fixed times, known as change points (CPs). Methods to determine CP locations and numbers for piecewise linear mixed effects models are scarce, standard software lacks adequate algorithms, and the RE-EM tree may emphasize the intercept over the slope of trends. The Segmented package in R is a powerful tool for analyzing segmented relationships and identifying changepoints in regression models, though it has limited use for longitudinal data. This study explores the application of segmented methods combined with grid search to accurately identify CPs in longitudinal data. The proposed two-step approach first estimates the number and initial locations of CPs without considering within-subject correlation. In the second step, these locations are refined by accounting for within-subject correlation through a grid search in a piecewise linear mixed effects model. The findings demonstrate that this combined method effectively optimizes CP locations and outperforms the RE-EM tree, in fitting non-linear early childhood growth patterns measured by BMIz. 

Keywords

Change Point

Non-linear Curves


Longitudinal Data

RE-EM tree

piecewise linear mixed effects model

segmented methods 

First Author

Md Jobayer Hossain, Nemours Biomedical Research, A.I. DuPont Children's Hospital

Presenting Author

Md Jobayer Hossain, Nemours Biomedical Research, A.I. DuPont Children's Hospital