catch22: CAnonical Time-series CHaracteristics

Carl H. Lubba, Sarab S. Sethi, Philip Knaute, Simon R. Schultz, Ben D. Fulcher, Nick S. Jones
2019 Data mining and knowledge discovery  
Capturing the dynamical properties of time series concisely as interpretable feature vectors can enable efficient clustering and classification for time-series applications across science and industry. Selecting an appropriate feature-based representation of time series for a given application can be achieved through systematic comparison across a comprehensive time-series feature library, such as those in the hctsa toolbox. However, this approach is computationally expensive and involves
more » ... ting many similar features, limiting the widespread adoption of feature-based representations of time series for real-world applications. In this work, we introduce a method to infer small sets of time-series features that (i) exhibit strong classification performance across a given collection of time-series problems, and (ii) are minimally redundant. Applying our method to a set of 93 time-series classification datasets (containing over 147,000 time series) and using a filtered version of the hctsa feature library (4791 features), we introduce a set of 22 CAnonical Time-series CHaracteristics, catch22, tailored to the dynamics typically encountered in time-series data-mining tasks. This dimensionality reduction, from 4791 to 22, is associated with an approximately 1000fold reduction in computation time and near linear scaling with time-series length, despite an average reduction in classification accuracy of just 7%. catch22 captures a diverse and interpretable signature of time series in terms of their properties, including linear and non-linear autocorrelation, successive differences, value distributions and outliers, and fluctuation scaling properties. We provide an efficient implementation of catch22, accessible from many programming environments, that facilitates feature-Responsible editor: Eamonn Keogh. Ben D. Fulcher and Nick S. Jones have contributed equally to this study.
doi:10.1007/s10618-019-00647-x fatcat:bx7r24txxbfq3kanmnucikeugy