Seasonal time series Forecasting remains a challenging problem due to the long-term dependency from seasonality. In this paper, we propose a two-stage framework to forecast univariate seasonal time series. The first stage explicitly learns the long-r
ange time series structure in a time window beyond the forecast horizon. By incorporating the learned long-range structure, the second stage can enhance the prediction accuracy in the forecast horizon. In both stages, we integrate the auto-regressive model with neural networks to capture both linear and non-linear characteristics in time series. Our framework achieves state-of-the-art performance on M4 Competition Hourly datasets. In particular, we show that incorporating the intermediate results generated in the first stage to existing forecast models can effectively enhance their prediction performance.
Deep learning performs remarkably well on many time series analysis tasks recently. The superior performance of deep neural networks relies heavily on a large number of training data to avoid overfitting. However, the labeled data of many real-world
time series applications may be limited such as classification in medical time series and anomaly detection in AIOps. As an effective way to enhance the size and quality of the training data, data augmentation is crucial to the successful application of deep learning models on time series data. In this paper, we systematically review different data augmentation methods for time series. We propose a taxonomy for the reviewed methods, and then provide a structured review for these methods by highlighting their strengths and limitations. We also empirically compare different data augmentation methods for different tasks including time series anomaly detection, classification, and forecasting. Finally, we discuss and highlight five future directions to provide useful research guidance.
The monitoring and management of numerous and diverse time series data at Alibaba Group calls for an effective and scalable time series anomaly detection service. In this paper, we propose RobustTAD, a Robust Time series Anomaly Detection framework b
y integrating robust seasonal-trend decomposition and convolutional neural network for time series data. The seasonal-trend decomposition can effectively handle complicated patterns in time series, and meanwhile significantly simplifies the architecture of the neural network, which is an encoder-decoder architecture with skip connections. This architecture can effectively capture the multi-scale information from time series, which is very useful in anomaly detection. Due to the limited labeled data in time series anomaly detection, we systematically investigate data augmentation methods in both time and frequency domains. We also introduce label-based weight and value-based weight in the loss function by utilizing the unbalanced nature of the time series anomaly detection problem. Compared with the widely used forecasting-based anomaly detection algorithms, decomposition-based algorithms, traditional statistical algorithms, as well as recent neural network based algorithms, RobustTAD performs significantly better on public benchmark datasets. It is deployed as a public online service and widely adopted in different business scenarios at Alibaba Group.
Periodicity detection is a crucial step in time series tasks, including monitoring and forecasting of metrics in many areas, such as IoT applications and self-driving database management system. In many of these applications, multiple periodic compon
ents exist and are often interlaced with each other. Such dynamic and complicated periodic patterns make the accurate periodicity detection difficult. In addition, other components in the time series, such as trend, outliers and noises, also pose additional challenges for accurate periodicity detection. In this paper, we propose a robust and general framework for multiple periodicity detection. Our algorithm applies maximal overlap discrete wavelet transform to transform the time series into multiple temporal-frequency scales such that different periodic components can be isolated. We rank them by wavelet variance, and then at each scale detect single periodicity by our proposed Huber-periodogram and Huber-ACF robustly. We rigorously prove the theoretical properties of Huber-periodogram and justify the use of Fishers test on Huber-periodogram for periodicity detection. To further refine the detected periods, we compute unbiased autocorrelation function based on Wiener-Khinchin theorem from Huber-periodogram for improved robustness and efficiency. Experiments on synthetic and real-world datasets show that our algorithm outperforms other popular ones for both single and multiple periodicity detection.
Extracting the underlying trend signal is a crucial step to facilitate time series analysis like forecasting and anomaly detection. Besides noise signal, time series can contain not only outliers but also abrupt trend changes in real-world scenarios.
To deal with these challenges, we propose a robust trend filtering algorithm based on robust statistics and sparse learning. Specifically, we adopt the Huber loss to suppress outliers, and utilize a combination of the first order and second order difference on the trend component as regularization to capture both slow and abrupt trend changes. Furthermore, an efficient method is designed to solve the proposed robust trend filtering based on majorization minimization (MM) and alternative direction method of multipliers (ADMM). We compared our proposed robust trend filter with other nine state-of-the-art trend filtering algorithms on both synthetic and real-world datasets. The experiments demonstrate that our algorithm outperforms existing methods.
Decomposing complex time series into trend, seasonality, and remainder components is an important task to facilitate time series anomaly detection and forecasting. Although numerous methods have been proposed, there are still many time series charact
eristics exhibiting in real-world data which are not addressed properly, including 1) ability to handle seasonality fluctuation and shift, and abrupt change in trend and reminder; 2) robustness on data with anomalies; 3) applicability on time series with long seasonality period. In the paper, we propose a novel and generic time series decomposition algorithm to address these challenges. Specifically, we extract the trend component robustly by solving a regression problem using the least absolute deviations loss with sparse regularization. Based on the extracted trend, we apply the the non-local seasonal filtering to extract the seasonality component. This process is repeated until accurate decomposition is obtained. Experiments on different synthetic and real-world time series datasets demonstrate that our method outperforms existing solutions.
