[-0.2cm]Visualisation of big time series data

Transcription

Visualisation of
big time series
data
Rob J Hyndman
Visualisation of big time series data
1
Visualisation of
big time series
data
Rob J Hyndman
with Earo Wang, Nikolay Laptev
Yanfei Kang, Kate Smith-Miles
1
Visualisation of
big time series
data
Rob J Hyndman
1
Visualisation of
big time series
data
Rob J Hyndman
1
Visualisation of
big time series
data
Rob J Hyndman
1
Visualisation of
big time series
data
Rob J Hyndman
1
Visualisation of
big time series
data
Rob J Hyndman
1
Outline
1 The problem
2 Australian tourism demand
3 M3 competition data
4 Yahoo web traffic
5 What next?
The problem
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How to plot lots of time series?
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The problem
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Key idea
Cognostics
Computer-produced diagnostics
(Tukey and Tukey, 1985).
Examples for time series
lag correlation
size and direction of trend
strength of seasonality
timing of peak seasonality
spectral entropy
John W Tukey
The problem
5
Key idea
Cognostics
lag correlation
spectral entropy
John W Tukey
The problem
5
Key idea
Cognostics
lag correlation
spectral entropy
John W Tukey
The problem
5
Key idea
Cognostics
lag correlation
spectral entropy
John W Tukey
The problem
5
Key idea
Cognostics
lag correlation
spectral entropy
John W Tukey
The problem
5
Key idea
Cognostics
lag correlation
spectral entropy
John W Tukey
Called “features” or “characteristics” in the
machine learning literature.
The problem
5
Outline
1 The problem
4 Yahoo web traffic
5 What next?
Australian tourism demand
6
7
Quarterly data on visitor night from
1998:Q1 – 2013:Q4
From: National Visitor Survey, based on
annual interviews of 120,000 Australians
aged 15+, collected by Tourism Research
Australia.
Split by 7 states, 27 zones and 76 regions
(a geographical hierarchy)
Also split by purpose of travel
Holiday
Visiting friends and relatives (VFR)
Business
Other
304 disaggregated series
7
BEEOth BEDOth
BEEBus BEDBus
BEGBus BEFBus
BEGOth BEFOth
BEEVis BEDVis
BEEHol BEDHol
BEGVis BEFVis
BEGHol BEFHol
BECOth BEBOth
BECBus BEBBus
BECVis BEBVis
BECHol BEBHol
BDFVis
BEAOth BDFOth
BEABus BDFBus
BEAVis
BEAHol BDFHol
BDEOth BDDOth
BDEBus BDDBus
BDEVis BDDVis
BDEHol BDDHol
BDCOth BDBOth
BDCBus BDBBus
BDCVis BDBVis
BDCHol BDBHol
BDAOth BCCOth
BDABus BCCBus
BDAVis BCCVis
BDAHol BCCHol
BCBOth BCAOth
BCBBus BCABus
BCBVis BCAVis
BCBHol BCAHol
BBAOth BACOth
BBABus BACBus
BBAVis BACVis
BBAHol BACHol
BAAVis
BABOth BAAOth
BABBus BAABus
BABVis
BABHol BAAHol
Domestic tourism demand: Victoria
8
An STL decomposition
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remainder
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trend
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seasonal
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data
Tourism demand for holidays in Peninsula
Yt = S t + Tt + R t
St is periodic with mean 0
2000
2005
2010
time
9
Seasonal stacked bar chart
Place positive values above the origin while
negative values below the origin
Map the bar length to the magnitude
Encode quarters by colours
Qtr
0.5
Q1
Holiday
Seasonal Component
1.0
0.0
Q2
Q3
Q4
−0.5
−1.0
BAA BAB BAC BBA BCA BCBBCCBDA BDBBDCBDDBDE BDF BEA BEB BEC BED BEE BEF BEG
Regions
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Seasonal stacked bar chart: VIC
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11
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Holiday
VFR
Qtr
Q1
Q2
Q3
Q4
Business
Seasonal Component
Other
BAABABBACBBABCABCBBCCBDABDBBDCBDDBDEBDFBEABEBBECBEDBEEBEFBEG
Regions
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Trend analysis
Linearity: the long-term direction and
strength of trend.
Curvature: the “changing direction” of trend.
Estimate by regression:
Tt = β̂0 + β̂1 φ1 (t ) + βˆ2 φ2 (t ) + et
where φk (t ) is a kth-degree orthogonal
polynomial in time t.
To separate the linearity (β̂1 ) and curvature
(β̂2 ).
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3
2
1
0
Holiday
4
3
2
1
0
VFR
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3
2
1
0
Business
Trend Linearity
Trend analysis
Other
4
3
2
1
0
Direction
−
+
BAA BAB BAC BBA BCA BCBBCC BDA BDBBDCBDDBDE BDF BEA BEB BEC BED BEE BEF BEG
Regions
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Trend analysis
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BEEHol
BEFOth
BEEOth
BDEOth
BEBOth
BEABus
BEFBus
BDCOth
BACHol
BEBBus
BEAVis
BBAHol
BDEHol
BABOth
BAAVis
BAAHol
BDCHol
BBABus
BCBHol
BEGBus
BDDVis
BABVis
BDAVis
BEAOth
BDFHol
BEEBus
BAAOth
BACOth
BDAOth
BDEBus
BCBOth
BACBus
BEBVis
BACVis
BCAOth
BEFVis
BCBVis
BEDHol
BEGOth
BDBHol
BABBus
BEBHol
BDFBus
BECHol
BCAHol
BDBOth
BEAHol
BDCBus
BECVis
BDBVis
BCCHol
BBAVis
BABHol
BBAOth
BCCOth
BCBBus
BCCVis
BEGVis
BDDHol
BECOth
BDCVis
BAABus
BCCBus
BECBus
BCAVis
BDFVis
BEGHol
BDDOth
BEDOth
BEDVis
BDDBus
BDEVis
BEFHol
BEEVis
BDBBus
BDABus
BDAHol
BCABus
BDFOth
BEDBus
Corrgram of remainder
BEEHol
BEFOth
BEEOth
BDEOth
BEBOth
BEABus
BEFBus
BDCOth
BACHol
BEBBus
BEAVis
BBAHol
BDEHol
BABOth
BAAVis
BAAHol
BDCHol
BBABus
BCBHol
BEGBus
BDDVis
BABVis
BDAVis
BEAOth
BDFHol
BEEBus
BAAOth
BACOth
BDAOth
BDEBus
BCBOth
BACBus
BEBVis
BACVis
BCAOth
BEFVis
BCBVis
BEDHol
BEGOth
BDBHol
BABBus
BEBHol
BDFBus
BECHol
BCAHol
BDBOth
BEAHol
BDCBus
BECVis
BDBVis
BCCHol
BBAVis
BABHol
BBAOth
BCCOth
BCBBus
BCCVis
BEGVis
BDDHol
BECOth
BDCVis
BAABus
BCCBus
BECBus
BCAVis
BDFVis
BEGHol
BDDOth
BEDOth
BEDVis
BDDBus
BDEVis
BEFHol
BEEVis
BDBBus
BDABus
BDAHol
BCABus
BDFOth
BEDBus
1
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0.2
0
−0.2
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−0.8
−1
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BEEHol
BEFOth
BEEOth
BDEOth
BEBOth
BEABus
BEFBus
BDCOth
BACHol
BEBBus
BEAVis
BBAHol
BDEHol
BABOth
BAAVis
BAAHol
BDCHol
BBABus
BCBHol
BEGBus
BDDVis
BABVis
BDAVis
BEAOth
BDFHol
BEEBus
BAAOth
BACOth
BDAOth
BDEBus
BCBOth
BACBus
BEBVis
BACVis
BCAOth
BEFVis
BCBVis
BEDHol
BEGOth
BDBHol
BABBus
BEBHol
BDFBus
BECHol
BCAHol
BDBOth
BEAHol
BDCBus
BECVis
BDBVis
BCCHol
BBAVis
BABHol
BBAOth
BCCOth
BCBBus
BCCVis
BEGVis
BDDHol
BECOth
BDCVis
BAABus
BCCBus
BECBus
BCAVis
BDFVis
BEGHol
BDDOth
BEDOth
BEDVis
BDDBus
BDEVis
BEFHol
BEEVis
BDBBus
BDABus
BDAHol
BCABus
BDFOth
BEDBus
BEEHol
BEFOth
BEEOth
BDEOth
BEBOth
BEABus
BEFBus
BDCOth
BACHol
BEBBus
BEAVis
BBAHol
BDEHol
BABOth
BAAVis
BAAHol
BDCHol
BBABus
BCBHol
BEGBus
BDDVis
BABVis
BDAVis
BEAOth
BDFHol
BEEBus
BAAOth
BACOth
BDAOth
BDEBus
BCBOth
BACBus
BEBVis
BACVis
BCAOth
BEFVis
BCBVis
BEDHol
BEGOth
BDBHol
BABBus
BEBHol
BDFBus
BECHol
BCAHol
BDBOth
BEAHol
BDCBus
BECVis
BDBVis
BCCHol
BBAVis
BABHol
BBAOth
BCCOth
BCBBus
BCCVis
BEGVis
BDDHol
BECOth
BDCVis
BAABus
BCCBus
BECBus
BCAVis
BDFVis
BEGHol
BDDOth
BEDOth
BEDVis
BDDBus
BDEVis
BEFHol
BEEVis
BDBBus
BDABus
BDAHol
BCABus
BDFOth
BEDBus
Compute the correlations among
the remainder components
1
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0.6
Render both the sign and
magnitude using a colour mapping0.4
0.2
of two hues
Order variables according to the
first principal component of the
correlations.
0
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−1
14
BEEHol
BCBHol
BACHol
BDEHol
BDBHol
BABHol
BAAHol
BBAHol
BEGHol
BEAHol
BCAHol
BDCHol
BCCHol
BDFHol
BEDHol
BECHol
BEFHol
BEBHol
BDDHol
BDAHol
BDAHol
1
BDDHol
0.8
BEBHol
BEFHol
0.6
BECHol
BEDHol
0.4
BDFHol
BCCHol
0.2
BDCHol
BCAHol
0
BEAHol
BEGHol
−0.2
BBAHol
BAAHol
−0.4
BABHol
BDBHol
−0.6
BDEHol
BACHol
−0.8
BCBHol
BEEHol
−1
14
FAABus
FBBBus
FCBOth
FBAVis
FCABus
FCBVis
FBAOth
FBABus
FBBOth
FCAOth
FAAOth
FCBBus
FAAVis
FBBVis
FCAVis
FCBHol
FAAHol
FBAHol
FBBHol
FCAHol
Corrgram of remainder: TAS
FCAHol
1
FBBHol
0.8
FBAHol
FAAHol
0.6
FCBHol
FCAVis
0.4
FBBVis
FAAVis
0.2
FCBBus
FAAOth
0
FCAOth
FBBOth
−0.2
FBABus
FBAOth
−0.4
FCBVis
FCABus
−0.6
FBAVis
FCBOth
−0.8
FBBBus
FAABus
−1
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Outline
1 The problem
4 Yahoo web traffic
5 What next?
M3 competition data
16
M3 forecasting competition
3003 series
All data from business, demography, finance and
economics.
Series length between 14 and 126.
Either non-seasonal, monthly or quarterly.
All time series positive.
M3 competition data
17
M3 forecasting competition
●
M3 competition data
18
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Strength of seasonality: 1 −
Strength of trend: 1 −
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
Spectral entropy: H = − −π fy (λ) log fy (λ)dλ,
where fy (λ) is spectral density of Yt .
Low values of H suggest a time series that is
easier to forecast (more signal).
Autocorrelations: r1 , r2 , r3 , . . .
Optimal Box-Cox transformation parameter λ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
STL decomposition
Yt = St + Tt + Rt
Seasonal period
Var(Rt )
Var(Yt −Tt )
Var(Rt )
Var(Yt −St )
Rπ
M3 competition data
19
Candidate features
3000
1000
N0001
5000
Seasonality
1978
1980
1982
1984
1986
1988
N2602
0
10000
20000
1976
1982
1984
1986
6000 10000
1980
2000
N1906
1978
1984
1986
1988
1990
M3 competition data
1992
20
Candidate features
4000
2000
N0125
6000
Trend
1980
1982
1984
1986
1988
5000
1978
3000
N1978
1976
1984
1986
1988
1990
1992
1000
N0546
4000
7000
1982
1975
1980
1985
M3 competition data
20
Candidate features
N0001
5800
6000
6200
ACF1
1988
1989
1990
N2658
3000
5000
7000
1987
1988
1989
1990
1991
8000
7000
N2409
9000
1987
1984
1986
1988
1990
M3 competition data
1992
20
Candidate features
4000
2500
N2487
5500
Spectral entropy
1968
1970
1972
1974
4500
1966
3000
N0794
1964
1988
1990
1992
2000
N0121
2400
2800
1986
1976
1978
1980
1982
1984
M3 competition data
1986
1988
20
Candidate features
4000
2000
N0002
6000
Box Cox
1978
1980
1982
1984
1986
1988
7000
5000
N0468
9000
1976
1970
1975
1980
1985
6000
1965
2000
N0354
1960
1960
1965
1970
1975
1980
M3 competition data
1985
20
Candidate features
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2
6
10
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0.9
0.0
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0.5
SpecEntr
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Trend
8
Season
0.6
2
Freq
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−0.4
ACF
Lambda
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0.9
0.0
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−0.4
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M3 competition data
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Dimension reduction for time series
●
M3 competition data
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2
6
10
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0.8
0.9
0.0
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SpecEntr
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Trend
Season
8
Feature
calculation
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2
Freq
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−0.4
ACF
Lambda
0.5
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0.9
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0.4
0.8
−0.4
0.2
0.8
●
M3 competition data
22
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2
6
10
0.0
0.4
0.8
0.9
0.0
0.0 0.6
0.5
SpecEntr
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Trend
Season
8
Feature
calculation
0.6
2
Freq
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−0.4
ACF
0.5
3
2
PC2
1
0
−1
−2
−3
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Principal Lambda
component
decomposition
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−2
0
2
●
4
PC1
●
M3 competition data
22
Feature space of M3 data
First two PCs explain 68% of variation.
3
2
PC2
1
0
−1
−2
−3
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−2
0
2
4
PC1
M3 competition data
23
Freq
3
2
PC2
1
0
−1
−2
−3
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−2
0
2
value
12
9
6
3
4
PC1
M3 competition data
23
Season
3
2
PC2
1
0
−1
−2
−3
●
● ●
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−2
0
2
value
0.75
0.50
0.25
0.00
4
PC1
M3 competition data
23
Trend
3
2
PC2
1
0
−1
−2
−3
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−2
0
2
value
0.75
0.50
0.25
4
PC1
M3 competition data
23
ACF
3
2
PC2
1
0
−1
−2
−3
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−2
0
2
value
0.5
0.0
4
PC1
M3 competition data
23
SpecEntr
3
2
PC2
1
0
−1
−2
−3
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−2
0
2
value
0.9
0.8
0.7
0.6
0.5
4
PC1
M3 competition data
23
Lambda
3
2
PC2
1
0
−1
−2
−3
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●
●
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● ●
●
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●
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●
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●
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●
●
● ●●● ●●
●●
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●
●
●
●
●
●
−2
0
2
value
1.00
0.75
0.50
0.25
0.00
4
PC1
M3 competition data
23
Predictability
Three general forecasting methods:
Theta method Best overall in 2000 M3
competition
ETS
Exponential smoothing state
space models
STL-AR
AR model applied to seasonally
adjusted series from STL, and
seasonal component forecast
using the seasonal naive method.
Compute minimum MASE from all three methods
M3 competition data
24
Predictability
Three general forecasting methods:
Theta method Best overall in 2000 M3
competition
ETS
Exponential smoothing state
space models
STL-AR
AR model applied to seasonally
adjusted series from STL, and
seasonal component forecast
using the seasonal naive method.
Compute minimum MASE from all three methods
M3 competition data
24
Predictability
2000
4000
6000
8000
10000
Theta
1975
1980
1985
1990
M3 competition data
25
Predictability
2000
4000
6000
8000
10000
ETS
1975
1980
1985
1990
M3 competition data
25
Predictability
2000
4000
6000
8000
10000
AR
1975
1980
1985
1990
M3 competition data
25
Predictability
3000
4000
5000
6000
Theta
1980
1982
1984
1986
1988
1990
M3 competition data
1992
26
Predictability
3000
4000
5000
6000
ETS
1980
1982
1984
1986
1988
1990
M3 competition data
1992
26
Predictability
3000
4000
5000
6000
STL−AR
1980
1982
1984
1986
1988
1990
M3 competition data
1992
26
Predictability
6000
6500
7000
7500
8000
Theta
1984
1986
1988
1990
1992
M3 competition data
1994
27
Predictability
6000
6500
7000
7500
8000
ETS
1984
1986
1988
1990
1992
M3 competition data
1994
27
Predictability
6000
6500
7000
7500
8000
STL−AR
1984
1986
1988
1990
1992
M3 competition data
1994
27
Predictability
Low
3
PC2
1
0
−1
−2
−3
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−2
0
2
Low
2 values
MASE
1
PC2
●
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●
2
3
●
●
4
0
−1
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−2
M3 competition data
28
Predictability
Middle
3
PC2
1
0
−1
−2
−3
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−2
0
2
Medium
2 values
MASE
1
PC2
●
●●
●
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●
2
3
●
●
4
0
−1
−2
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●
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●
●
●
−2
M3 competition data
28
Predictability
High
3
●
●
●
●●●
● ●●
2
PC2
1
0
−1
−2
−3
●
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●
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−2
0
2
High
MASE values
4
M3 competition data
28
Predictability
Yearly data
Yearly data
4
4
●
●●●
●
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M3 competition data
Best
29
Ets
●
Predictability
−2
−4
−4
−2
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0
2
PC1
4
6
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0
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4
SVM prediction
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●
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2
2
2
6
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M3 competition data
Best
29
Ets
●
●
●●
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●●●
●●●
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●● ●
●
●
● ●
●
Predictability
−2
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−4
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0
2
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4
6
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Monthly data
4
6
2
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Best
Ets
NoDiff
Stlm−ar
Theta
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PC2
2
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4
2
−2
0
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Ets
NoDiff
Stlm−ar
●
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●
−4
−2
0
2
PC1
4
6
Actual
−2
0
2
PC1
4
6
SVM prediction
M3 competition data
29
Generating new time series
We can use the feature space to:
å Generate new time series with similar features to
existing series
å Generate new time series where there are “holes” in
the feature space.
Let {PC1 , PC2 , . . . , PCn } be a “population” of time
series of specified length and period.
Genetic algorithm uses a process of selection,
crossover and mutation to evolve the population
towards a target point Ti . p
Optimize: Fitness (PCj ) = − (|PCj − Ti |2 ).
Initial population random with some series in
neighbourhood of Ti .
M3 competition data
30
existing series
the feature space.
M3 competition data
30
existing series
the feature space.
M3 competition data
30
existing series
the feature space.
M3 competition data
30
existing series
the feature space.
M3 competition data
30
Evolving new time series
3
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PC2
A
B
0
−1
−2
C
●●
●
−3
−2
0
2
4
PC1
M3 competition data
31
5200
4400
1970
1980
1990
0
Evolved B
5000
10
1985
1990
1995
5
20
25
30
10
3000
5000
Evolved C
4000
2000
15
Time
7000
1980
Target C
15
5000
3000
5
7000
1960
7000
1950
Target B
4800
Evolved A
6000
2000
Target A
1982
1984
1986
1988
1990
1992
1994
0
5
10
15
M3 competition data
20
25
30
31
3
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2
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PC2
1
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2
4
PC1
M3 competition data
32
7000
5000
3000
Evolved D
10
15
20
25
30
8000
12000
5
4000
Evolved E
0
10
15
20000
0
Evolved F
40000
5
2
4
6
8
10
M3 competition data
32
Targets
4
4
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2
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2
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−4
● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●
−2
0
2
PC1
4
−4
6
M3 competition data
−2
33
Evolved yearly data
4
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4
6
−4
−2
0
2
PC1
4
6
M3 competition data
33
−4
−4
Evolving new time
series
PC1
−2
0
2
4
6
−2
Evolved quarterly data
E
4
4
●
0
−2
2
PC2
PC2
2
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ata
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−4
6
−2
0
2
PC1
4
6
M3 competition data
33
Questions raised
Can SVM be used to create a forecast selection
routine to give better forecasts?
How much do M3 conclusions depend on the
particular set of time series involved?
Has the M3 data set biased forecast method
development?
What other features should we consider? What
difference does it make?
Is PCA the right approach? Perhaps we should
use multidimensional scaling? Or something
else?
Should we use more than 2 PC dimensions?
M3 competition data
34
Questions raised
development?
else?
M3 competition data
34
Questions raised
development?
else?
M3 competition data
34
Questions raised
development?
else?
M3 competition data
34
Questions raised
development?
else?
M3 competition data
34
Questions raised
development?
else?
M3 competition data
34
Outline
1 The problem
4 Yahoo web traffic
5 What next?
Yahoo web traffic
35
Yahoo web-traffic
Tens of thousands of time series collected at
one-hour intervals over one month.
Consisting of several server metrics (e.g. CPU usage
and paging views) from many server farms globally.
Aim: find unusual (anomalous) time series.
Yahoo web traffic
36
30
15000
25
40
25
0
35
600
200
70
20000
15000
10000
5000
0
50
50
date
memory484
busy369
60
memory413
25
memory147
15
busy200
20
memory429
20
busy50
60
memory460
30
value
20000
40
2014−11−09
2014−11−10
2014−11−11
2014−11−12
2014−11−13
2014−11−14
2014−11−15
2014−11−16
2014−11−17
2014−11−18
2014−11−19
2014−11−20
2014−11−21
2014−11−22
2014−11−23
2014−11−24
2014−11−25
2014−11−26
2014−11−27
2014−11−28
2014−11−29
2014−11−30
2014−12−01
2014−12−02
2014−12−03
2014−12−04
2014−12−05
2014−12−06
2014−12−07
2014−12−08
2014−12−09
2014−12−10
35
busy271
value
45
busy233
2014−11−09
2014−11−10
2014−11−11
2014−11−12
2014−11−13
2014−11−14
2014−11−15
2014−11−16
2014−11−17
2014−11−18
2014−11−19
2014−11−20
2014−11−21
2014−11−22
2014−11−23
2014−11−24
2014−11−25
2014−11−26
2014−11−27
2014−11−28
2014−11−29
2014−11−30
2014−12−01
2014−12−02
2014−12−03
2014−12−04
2014−12−05
2014−12−06
2014−12−07
2014−12−08
2014−12−09
2014−12−10
2014−12−11
2014−12−12
2014−11−09
2014−11−10
2014−11−11
2014−11−12
2014−11−13
2014−11−14
2014−11−15
2014−11−16
2014−11−17
2014−11−18
2014−11−19
2014−11−20
2014−11−21
2014−11−22
2014−11−23
2014−11−24
2014−11−25
2014−11−26
2014−11−27
2014−11−28
2014−11−29
2014−11−30
2014−12−01
2014−12−02
2014−12−03
2014−12−04
2014−12−05
2014−12−06
2014−12−07
2014−12−08
2014−12−09
2014−12−10
2014−12−11
2014−12−12
Yahoo web-traffic
10000
5000
400
1000
10
500
25000
20000
15000
10000
5000
0
date
Yahoo web traffic
date
37
Feature space
ACF1: first order autocorrelation = Corr(Yt , Yt−1 )
Strength of trend and seasonality based on STL
Trend linearity and curvature
Size of seasonal peak and trough
Spectral entropy
Lumpiness: variance of block variances (block size 24).
Spikiness: variances of leave-one-out variances of STL remainders.
Level shift: Maximum difference in trimmed means of consecutive
moving windows of size 24.
Variance change: Max difference in variances of consecutive
Flat spots: Discretize sample space into 10 equal-sized intervals.
Find max run length in any interval.
Number of crossing points of mean line.
Kullback-Leibler
score: Maximum of
R
DKL (PkQ) = P(x) ln P(x)/Q(x)dx where P and Q are estimated by
kernel density estimators applied to consecutive windows of size 48.
Change index: Time of maximum KL score
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
Feature space
Spectral entropy
Kullback-Leibler
score: Maximum of
R
Yahoo web traffic
38
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entro
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py
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−4
sea
son
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urva e
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vlstcA
C
rhheifantnFg1e
d
●
●
●
●
−2.5
0.0
2.5
series.
1
2
Yahoo web traffic
40
Bivariate kernel density
n
f̂ (x; H) =
1X
n
KH (x − Xi )
i=1
Xi ∈ a bivariate random sample {X1 , X2 , . . . , Xn }
KH (x) is the standard normal kernel function
H estimated by minimizing the sum of AMISE
Rank points based on f̂ values in 2d PCA space.
Yahoo web traffic
41
Bivariate kernel density
n
f̂ (x; H) =
1X
n
KH (x − Xi )
i=1
Xi ∈ a bivariate random sample {X1 , X2 , . . . , Xn }
KH (x) is the standard normal kernel function
H estimated by minimizing the sum of AMISE
Rank points based on f̂ values in 2d PCA space.
Yahoo web traffic
41
−4
−2
2
4
−6
5
1
−8
pc2
0
2
4
6
Bivariate density ranking
3
−5
0
5
pc1
Yahoo web traffic
42
40000
30000
20000
10000
0
6000
4000
2000
0
50000
40000
30000
20000
10000
0
40000
30000
20000
10000
0
5000
4000
3000
2000
1000
0
S7793 S8494 S10464 S7833 S1715
2015−02−28
2015−03−01
2015−03−02
2015−03−03
2015−03−04
2015−03−05
2015−03−06
2015−03−07
2015−03−08
2015−03−09
2015−03−10
2015−03−11
2015−03−12
2015−03−13
2015−03−14
2015−03−15
2015−03−16
2015−03−17
2015−03−18
2015−03−19
2015−03−20
2015−03−21
2015−03−22
2015−03−23
2015−03−24
2015−03−25
2015−03−26
2015−03−27
2015−03−28
2015−03−29
2015−03−30
2015−03−31
2015−04−01
value
Bivariate density ranking
date
Yahoo web traffic
42
α-convex hulls
The space generated by point pairs that can be
touched by an empty disc of radius α.
α → ∞ gives a convex hull.
Points can become isolated when α is small.
We rank points based on the value of α when
they become isolated.
Yahoo web traffic
43
α-convex hulls
Yahoo web traffic
43
α-convex hulls
Yahoo web traffic
43
α-convex hulls
Yahoo web traffic
43
6
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0
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4
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−6
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5
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1
4
2
−5
0
Yahoo web traffic
5
45
●
●
50000
40000
30000
20000
10000
0
40000
30000
20000
10000
0
6000
4000
2000
0
5000
4000
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0
30000
20000
10000
0
S10464 S7793 S8494 S1715 S7826
2015−02−28
2015−03−01
2015−03−02
2015−03−03
2015−03−04
2015−03−05
2015−03−06
2015−03−07
2015−03−08
2015−03−09
2015−03−10
2015−03−11
2015−03−12
2015−03−13
2015−03−14
2015−03−15
2015−03−16
2015−03−17
2015−03−18
2015−03−19
2015−03−20
2015−03−21
2015−03−22
2015−03−23
2015−03−24
2015−03−25
2015−03−26
2015−03−27
2015−03−28
2015−03−29
2015−03−30
2015−03−31
2015−04−01
value
α-convex hull ranking
date
Yahoo web traffic
45
HDR versus α-convex hull
HDR boxplot
6
6
α-convex hull
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● ●
●
●●
●
●● ●●● ● ●●
●
●
● ●
●
●
●
● ●
●
●
●
●
●
●
●●
●
●
●
●● ●
● ●
● ●●
●
● ●
●
●
●
●
●
●
●●
●
●
●
●
4
−4
−4
−2
−2
2
−6
5
3
−6
●
1
3
●
−5
0
pc1
5
−8
−8
pc2
0
0
2
2
4
4
●
●
●
●
5
●
●
1
4
2
−5
Yahoo web traffic
0
5
46
●
●
HDR
value
50000
40000
30000
20000
10000
0
40000
30000
20000
10000
0
6000
α-convex hull
4000
2000
0
5000
4000
3000
2000
1000
0
30000
20000
10000
0
Yahoo web traffic
S10464 S7793 S8494 S1715 S7826
S7793 S8494 S10464 S7833 S1715
2015−02−28
2015−03−01
2015−03−02
2015−03−03
2015−03−04
2015−03−05
2015−03−06
2015−03−07
2015−03−08
2015−03−09
2015−03−10
2015−03−11
2015−03−12
2015−03−13
2015−03−14
2015−03−15
2015−03−16
2015−03−17
2015−03−18
2015−03−19
2015−03−20
2015−03−21
2015−03−22
2015−03−23
2015−03−24
2015−03−25
2015−03−26
2015−03−27
2015−03−28
2015−03−29
2015−03−30
2015−03−31
2015−04−01
40000
30000
20000
10000
0
6000
4000
2000
0
50000
40000
30000
20000
10000
0
40000
30000
20000
10000
0
5000
4000
3000
2000
1000
0
2015−02−28
2015−03−01
2015−03−02
2015−03−03
2015−03−04
2015−03−05
2015−03−06
2015−03−07
2015−03−08
2015−03−09
2015−03−10
2015−03−11
2015−03−12
2015−03−13
2015−03−14
2015−03−15
2015−03−16
2015−03−17
2015−03−18
2015−03−19
2015−03−20
2015−03−21
2015−03−22
2015−03−23
2015−03−24
2015−03−25
2015−03−26
2015−03−27
2015−03−28
2015−03−29
2015−03−30
2015−03−31
2015−04−01
value
Top 5 anomalous time series
date
date
47
Outline
1 The problem
4 Yahoo web traffic
5 What next?
What next?
48
What next?
Develop a more comprehensive set of features
that are reliable measures and fast to compute.
e.g., for finance data.
Consider other dimension reduction methods
and more than 2 dimensions.
Develop dynamic and interactive visualization
tools.
Make methods available in an R package.
Some of the methods are already available in the
anomalous package for R on github.
What next?
49
What next?
tools.
What next?
49
What next?
tools.
What next?
49
What next?
tools.
What next?
49
What next?
tools.
What next?
49
Further information
å
å
å
å
Papers and R packages: robjhyndman.com
Blog: robjhyndman.com/hyndsight
Code: github.com/robjhyndman
Email: [email protected]
What next?
50

[-0.2cm]Visualisation of big time series data

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