Linear autocorrelation structure
Features quantifying linear autocorrelation structure (from the autocorrelation function or power spectrum).
catch22 contains 6 features which each capture some aspect of the linear autocorrelation structure of a time series. Select one of the cards below to discover more information:
1. acf_timescale
acf_timescale
What it does
The feature in catch22 computes the first 1/e crossing of the autocorrelation function of the time series. In hctsa, this can be computed as CO_FirstCrossing(x_z,'ac',1/exp(1),'discrete')
.
This feature measures the first time lag at which the autocorrelation function drops below 1/e (= 0.3679).
What it measures
acf_timescale
captures the approximate scale of autocorrelation in a time series. This can be thought of as the number of steps into the future at which a value of the time series at the current point and that future point remain substantially (>1/e) correlated. For a continuous-time system, this statistic is high when the sampling rate is high relative to the timescale of the dynamics.
To give an intuition, below we plot some examples of the outputs of this feature for different scenarios:
For uncorrelated noise, like the Poisson-distributed series shown below, the autocorrelation function drops to ~0 immediately, and we obtain the minimum value of this statistic:
Feature output: acf_timescale =
1.000
acf_timescale =
1.000
2. acf_first_min
acf_first_min
What it does
Similar to the 1/e crossing feature above, computes the first minimum of the autocorrelation function. It exhibits similar behaviour.
3. periodicity
periodicity
What it does
The feature returns the first peak in the autocorrelation function satisfying a set of conditions (after detrending the time series using a three-knot cubic regression spline).
It is based on a method by Wang et al. (2007) (described in their paper: "Structure-based Statistical Features and Multivariate Time Series Clustering" ).
To give some intuition about the typical behaviour of the periodicity
time series feature, consider these examples below:
4. low_freq_power
low_freq_power
What it does
The feature computes the relative power in the lowest 20% of frequencies (relative to the sampling rate of the data) [the output area_5_1
from the hctsa code SP_Summaries(x_z,'welch','rect',[],false)
].
What it measures
It gives high values to time series with lots of power in low frequencies, and low values to time series that have most of their power in higher frequencies.
The area under the power spectrum is estimated in linear space, where the power spectral density is estimated using Welch's method (with a rectangular window).
Here's an example of a slow-varying stochastic process with a very high value for this feature, reflecting 98.7% of power is this low-frequency band (relevant portion of the power spectrum shaded red below):
Feature output: low_freq_power =
0.987
low_freq_power =
0.987
5. centroid_freq
centroid_freq
What it does
What it measures
It gives high values to time series that have their power in high frequencies.
6. ami_timescale
ami_timescale
What it does
outputs a measure of the timescale of (potentially nonlinear) autocorrelation in the time series, as the minimum of the automutual information function. This is a common way of selecting the timescale, for a time-delay embedding.
Automutual information is estimated here using a Gaussian assumption on the data (and is thus a nonlinear transformation of the linear autocorrelation function). The hctsa version maxes out at 40, meaning that if there has been no local minimum after 40 lags, this feature outputs the value 40.
High values reflect highly autocorrelated, long-memory processes (on the timescale of the sampling period), and low values reflect low-memory or noise processes.
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