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arXiv 2103.10247cs.LG
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时间序列外回归的可解释特征构造

Interpretable Feature Construction for Time Series Extrinsic Regression

Université de La Réunion(留尼汪大学);Orange Labs(Orange实验室)

Dominique Gay, Alexis Bondu, Vincent Lemaire, Marc Boullé

摘要:

时间序列数据的监督学习在分类目标变量的情况下得到了广泛的研究。在一些应用领域中,例如,在能源、环境和健康监测中,目标变量是数值的,这个问题被称为时间序列外部回归(TSER)。在文献中,一些著名的时间序列分类器已被扩展为TSER问题。由于第一个基准研究集中在预测性能,很少注意到可解释性。为了填补这一空白,在本文中,我们提出了一个扩展的贝叶斯方法,强大的和可解释的功能建设和选择的上下文中TSER。我们的方法利用关系的方式来处理TSER:(i),我们建立各种简单的表示的时间序列存储在一个关系数据方案,然后,(ii),一个命题化技术(基于来自关系数据领域的经典聚合/选择函数)被应用于从辅助表构建可解释的特征以“扁平化”数据;以及(iii)通过贝叶斯最大后验概率方法过滤出所构造的特征。所得到的转换数据可以用各种现有的回归器进行处理。各种基准数据集上的实验验证证明了所提出的方法的好处。

英文摘要:

Supervised learning of time series data has been extensively studied for the case of a categorical target variable. In some application domains, e.g., energy, environment and health monitoring, it occurs that the target variable is numerical and the problem is known as time series extrinsic regression (TSER). In the literature, some well-known time series classifiers have been extended for TSER problems. As first benchmarking studies have focused on predictive performance, very little attention has been given to interpretability. To fill this gap, in this paper, we suggest an extension of a Bayesian method for robust and interpretable feature construction and selection in the context of TSER. Our approach exploits a relational way to tackle with TSER: (i), we build various and simple representations of the time series which are stored in a relational data scheme, then, (ii), a propositionalisation technique (based on classical aggregation / selection functions from the relational data field) is applied to build interpretable features from secondary tables to "flatten" the data; and (iii), the constructed features are filtered out through a Bayesian Maximum A Posteriori approach. The resulting transformed data can be processed with various existing regressors. Experimental validation on various benchmark data sets demonstrates the benefits of the suggested approach.

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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