ClaSP -- Parameter-free Time Series Segmentation

TL;DR

ClaSP is a new, highly accurate, and domain-agnostic time series segmentation method that automatically determines change points without requiring hyper-parameter tuning, outperforming existing methods in accuracy and scalability.

Contribution

ClaSP introduces a hyper-parameter-free, hierarchical approach for time series segmentation that learns its parameters from data, improving accuracy and applicability across domains.

Findings

ClaSP outperforms state-of-the-art methods in accuracy on 107 benchmark datasets.

ClaSP is fast and scalable for large time series data.

Real-world case studies demonstrate its practical utility.

Abstract

The study of natural and human-made processes often results in long sequences of temporally-ordered values, aka time series (TS). Such processes often consist of multiple states, e.g. operating modes of a machine, such that state changes in the observed processes result in changes in the distribution of shape of the measured values. Time series segmentation (TSS) tries to find such changes in TS post-hoc to deduce changes in the data-generating process. TSS is typically approached as an unsupervised learning problem aiming at the identification of segments distinguishable by some statistical property. Current algorithms for TSS require domain-dependent hyper-parameters to be set by the user, make assumptions about the TS value distribution or the types of detectable changes which limits their applicability. Common hyperparameters are the measure of segment homogeneity and the number of change points, which are particularly hard to tune for each data set. We present ClaSP, a novel, highly accurate, hyper-parameter-free and domain-agnostic method for TSS. ClaSP hierarchically splits a TS into two parts. A change point is determined by training a binary TS classifier for each possible split point and selecting the one split that is best at identifying subsequences to be from either of the partitions. ClaSP learns its main two model-parameters from the data using two novel bespoke algorithms. In our experimental evaluation using a benchmark of 107 data sets, we show that ClaSP outperforms the state of the art in terms of accuracy and is fast and scalable. Furthermore, we highlight properties of ClaSP using several real-world case studies.