arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2102.08310cs.LGstat.ML
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时间序列数据增强的自适应加权方法

Adaptive Weighting Scheme for Automatic Time-Series Data Augmentation

University of Manchester(曼彻斯特大学);AllianceBernstein(联博集团);Aarhus University(奥胡斯大学)

Elizabeth Fons, Paula Dawson, Xiao-jun Zeng, John Keane, Alexandros Iosifidis

摘要:

数据增强方法已被证明是提高图像、文本和音频分类等任务泛化能力的基本技术。最近,自动增强方法已经导致对图像分类和目标检测的进一步改进,从而导致最先进的性能。尽管如此,在时间序列数据方面的工作很少,而鉴于数据集通常规模有限,自动化数据增强对这一领域大有益处。我们提出了两个样本自适应自动加权方案的数据增强:第一个学会加权的损失的增强样本的贡献,和第二种方法选择一个子集的基础上预测的训练损失的排名的转换。我们验证了我们提出的方法在一个大的,嘈杂的金融数据集和时间序列数据集从UCR档案。在金融数据集上,我们证明了与交易策略相结合的方法可以提高超过50个$\%$的年化回报率,在时间序列数据上,我们在一半以上的数据集上表现优于最先进的模型,并在其他数据集上实现了类似的准确性。

英文摘要:

Data augmentation methods have been shown to be a fundamental technique to improve generalization in tasks such as image, text and audio classification. Recently, automated augmentation methods have led to further improvements on image classification and object detection leading to state-of-the-art performances. Nevertheless, little work has been done on time-series data, an area that could greatly benefit from automated data augmentation given the usually limited size of the datasets. We present two sample-adaptive automatic weighting schemes for data augmentation: the first learns to weight the contribution of the augmented samples to the loss, and the second method selects a subset of transformations based on the ranking of the predicted training loss. We validate our proposed methods on a large, noisy financial dataset and on time-series datasets from the UCR archive. On the financial dataset, we show that the methods in combination with a trading strategy lead to improvements in annualized returns of over 50$\%$, and on the time-series data we outperform state-of-the-art models on over half of the datasets, and achieve similar performance in accuracy on the others.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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