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Quasi-Periodicity Detection via Repetition Invariance of Path Signatures

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Advances in Knowledge Discovery and Data Mining (PAKDD 2023)

Abstract

Periodicity or repetition detection has a wide varieties of use cases in human activity tracking, music pattern discovery, physiological signal monitoring and more. While there exists a broad range of research, often the most practical approaches are those based on simple quantities that are conserved over periodic repetition, such as auto-correlation or Fourier transform. Unfortunately, these periodicity-based approaches do not generalise well to quasi-periodic (variable period) scenarios. In this research, we exploit the time warping invariance of path signatures to find linearly accumulating quantities with respect to quasi-periodic repetition, and propose a novel repetition detection algorithm Recurrence Point Signed Area Persistence. We show that our approach can effectively deal with repetition detection with period variations, which similar unsupervised methods tend to struggle with.

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Notes

  1. 1.

    or the linear interpolation of a discrete sequence.

  2. 2.

    The reader may refer to [3] for more in-depth information regarding path signature.

  3. 3.

    We may automatically find the best parameters for time-delay embedding with well-established heuristics, such as False Nearest Neighbours [1].

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Correspondence to Chenyang Wang .

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Wang, C., Luo, L., Aickelin, U. (2023). Quasi-Periodicity Detection via Repetition Invariance of Path Signatures. In: Kashima, H., Ide, T., Peng, WC. (eds) Advances in Knowledge Discovery and Data Mining. PAKDD 2023. Lecture Notes in Computer Science(), vol 13938. Springer, Cham. https://doi.org/10.1007/978-3-031-33383-5_24

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  • DOI: https://doi.org/10.1007/978-3-031-33383-5_24

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