Generalized Additive Models em Séries Temporais

Aqui no AlgoBeans provavelmente você verá a melhor explicação sobre modelos aditivos generalizados (Generalized Additive Models) da internet. De forma simples e didática, o post explica tudo sobre essa técnica.

Therefore, google search trends for persimmons could well be modeled by adding a seasonal trend to an increasing growth trend, in what’s called a generalized additive model (GAM).

The principle behind GAMs is similar to that of regression, except that instead of summing effects of individual predictors, GAMs are a sum of smooth functions. Functions allow us to model more complex patterns, and they can be averaged to obtain smoothed curves that are more generalizable.

Because GAMs are based on functions rather than variables, they are not restricted by the linearity assumption in regression that requires predictor and outcome variables to move in a straight line. Furthermore, unlike in neural networks, we can isolate and study effects of individual functions in a GAM on resulting predictions.

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Generalized Additive Models em Séries Temporais

Deep Learning para análise de séries temporais

Por mais que problemas de reconhecimento de imagens, ou mesmo de segmentação sonora estejam em alta em Deep Learning, 90% dos problemas do mundo quando falamos de dados, passam por dados estruturados, em especial séries temporais. Esse paper mostra uma metodologia pouco convencional (a transformação de séries temporais em uma ‘imagem’ para o uso de uma Rede Coevolucionária) mas que pode mostrar que o céu é o limite quando falamos de arranjos para solução de problemas de predição usando dados estruturados.

Deep Learning for Time-Series Analysis – John Cristian Borges Gamboa

Abstract: In many real-world application, e.g., speech recognition or sleep stage classification, data are captured over the course of time, constituting a Time-Series. Time-Series often contain temporal dependencies that cause two otherwise identical points of time to belong to different classes or predict different behavior. This characteristic generally increases the difficulty of analysing them. Existing techniques often depended on hand-crafted features that were expensive to create and required expert knowledge of the field. With the advent of Deep Learning new models of unsupervised learning of features for Time-series analysis and forecast have been developed. Such new developments are the topic of this paper: a review of the main Deep Learning techniques is presented, and some applications on Time-Series analysis are summaried. The results make it clear that Deep Learning has a lot to contribute to the field.

Conclusions: When applying Deep Learning, one seeks to stack several independent neural network layers that, working together, produce better results than the already existing shallow structures. In this paper, we have reviewed some of these modules, as well the recent work that has been done by using them, found in the literature. Additionally, we have discussed some of the main tasks normally performed when manipulating Time-Series data using deep neural network structures. Finally, a more specific focus was given on one work performing each one of these tasks. Employing Deep Learning to Time-Series analysis has yielded results in these cases that are better than the previously existing techniques, which is an evidence that this is a promising field for improvement.

deep-learning-for-time-series-analysis

Deep Learning para análise de séries temporais

STR: A Seasonal-Trend Decomposition Procedure Based on Regression

Um dos maiores desafios em predição/decomposição de séries temporais (no espectro de aprendizado de máquina) é a inclusão de diversos efeitos sazonais ou até mesmo como saber quais efeitos cíclicos que estão contidos na série.

Esse paper do  Dokumentov e do Rob J Hyndman ataca essa questão com a criação do STR que é um procedimento para decomposição sazonal e de tendência baseado em regressão.

Abstract
We propose new generic methods for decomposing seasonal data: STR (a Seasonal-Trend decomposition procedure based on Regression) and Robust STR. In some ways, STR is similar to Ridge Regression and Robust STR can be related to LASSO. Our new methods are much more general than any alternative time series decomposition methods. They allow for multiple seasonal and cyclic components, and multiple linear regressors with constant, flexible, seasonal and cyclic influence. Seasonal patterns (for both seasonal components and seasonal regressors) can be fractional and flexible over time; moreover they can be either strictly periodic or have a more complex topology. We also provide confidence intervals for the estimated components, and discuss how STR can be used for forecasting.

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STR: A Seasonal-Trend Decomposition Procedure Based on Regression

Previsão em séries temporais probabilísticas

Abstract

A large body of the forecasting literature so far has been focused on forecasting the conditional mean of future observations. However, there is an increasing need for generating the entire conditional distribution of future observations in order to effectively quantify the uncertainty in time series data. We present two different methods for probabilistic time series forecasting that allow the inclusion of a possibly large set of exogenous variables. One method is based on forecasting both the conditional mean and variance of the future distribution using a traditional regression approach. The other directly computes multiple quantiles of the future distribution using quantile regression. We propose an implementation for the two methods based on boosted additive models, which enjoy many useful properties including accuracy, flexibility, interpretability and automatic variable selection. We conduct extensive experiments using electricity smart meter data, on both aggregated and disaggregated scales, to compare the two forecasting methods for the challenging problem of forecasting the distribution of future electricity consumption. The empirical results demonstrate that the mean and variance forecasting provides better forecasts for aggregated demand, while the flexibility of the quantile regression approach is more suitable for disaggregated demand. These results are particularly useful since more energy data will become available at the disaggregated level in the future.

Probabilistic time series forecasting with boosted additive models

Previsão em séries temporais probabilísticas

O segredo de Luiza – Uma análise de dados antológica

Este post é uma das análises de dados mais antológicas que eu já vi na blogosfera. Os comentários são sensacionais e mostra que os dados serão sempre mais consistentes que vieses, ideologias, achismo, palpiterismo, etc.

O segredo de Luiza – Uma análise de dados antológica

Aplicação de Mineração de Dados no Mercado Financeiro – Application of data mining techniques in stock markets

Ehsan Hajizadeh, Hamed Davari Ardakani e Jamal Shahrabi, todos da Amirkabir University of Technology no Irã trazem nesse paper uma boa abordagem de idéias de aplicações de mineração de dados no mercado financeiro.

Aos moldes do que faz o ótimo livro do Roberto Pontes que já foi resenhado aqui, os autores colocam um leque de possibilidades bem interessantes com as técnicas de mineração de dados, no qual não somente a mineração de dados será uma ferramenta de análise exploratória e reconhecimento de padrões, como colocam as técnicas como forma de se analisar tendências futuras para melhorar a análise de ativos.

Como os autores bem colocam, o paper vem a preencher uma lacuna na literatura sobre a aplicação de mineração de dados, principalmente no que vai além da dupla árvore de decisão e rede neural.

As técnicas elencadas pelos autores foram: Árvore de Decisão (alternativas de decisão), Redes Neurais (avaliação paramétrica), Agrupamento – Clustering – (observação de dinâmicas de características dos ativos financeiros, análise de fator (avaliação de variáveis e a influência de cada um sobre um modelo de predição), regras de associação (relacionamento entre os ativos de acordo com as características da base de dados), Séries Temporais (análise de tendência e predição).

Para quem deseja engajar-se em um projeto sério de análise de dados financeiros, sem dúvidas esse  artigo traz uma luz bem oportuna ao assunto, e pode auxiliar em pesquisas neste aspecto.

Application of data mining techniques in stock markets

Aplicação de Mineração de Dados no Mercado Financeiro – Application of data mining techniques in stock markets

Busca e Mineração de Trilhões subsequências de Séries Temporais sob Dynamic Time Warping

Neste paper os pesquisadores acreditam que o gargalo da performance da mineração de dados utilizando séries temporais é o tempo de resposta do cálculo das medidas de distância que são utilizadas; e a proposta é a utilização do algoritmo Dynamic Time Warping que faz a comparação entre duas instâncias (ou sequências) ao longo de um determinado período de tempo. É bem interessante e saí do lugar comum quando se trata de medidas de distância.

Searching and Mining Trillions of Time Series Subsequences under Dynamic Time Warping – Thanawin Rakthanmanon, Bilson Campana, Abdullah Mueen, Gustavo Batista, Brandon Westover, Qiang Zhu, Jesin Zakaria, Eamonn Keogh

ABSTRACT
Most time series data mining algorithms use similarity search as a core subroutine, and thus the time taken for similarity search is the bottleneck for virtually all time series data mining algorithms. The difficulty of scaling  search to large datasets largely explains why most academic work on time series data mining has plateaued at considering a few millions of time series objects, while much of industry and science sits on billions of time series objects waiting to be explored. In this work we show that by using a combination of four novel ideas we can search and mine truly massive time series for the first time. We demonstrate the following extremely unintuitive fact; in large datasets we can exactly search under DTW much more quickly than the current state-of-the-art Euclidean distance search algorithms. We demonstrate our work on the largest set of time series experiments ever attempted. In particular, the largest dataset we consider is larger than the combined size of  all of the time series datasets considered in all data mining papers ever published. We show that our ideas allow  us to solve higher-level time series data mining problem such as motif discovery and clustering at scales that would otherwise be untenable. In addition to mining massive datasets, we will show that our ideas also have implications for real-time monitoring of data streams, allowing us to handle much faster arrival rates and/or use cheaper and lower powered devices than are currently possible. 

Link – http://www.cs.ucr.edu/~eamonn/SIGKDD_trillion.pdf

Searching and Mining Trillions of Time Series Subsequences under Dynamic Time Warping

Busca e Mineração de Trilhões subsequências de Séries Temporais sob Dynamic Time Warping