Proceedings

RobustTrend: A Huber Loss with a Combined First and Second Order Difference Regularization for Time Series Trend Filtering

Qingsong Wen, Jingkun Gao, Xiaomin Song, Liang Sun, Jian Tan

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Proceedings of the Twenty-Eighth International Joint Conference on Artificial Intelligence. Main track. Pages 3856-3862.

https://doi.org/10.24963/ijcai.2019/535

Keywords

  • Machine Learning: Data Mining
  • Machine Learning: Unsupervised Learning
  • Machine Learning: Time-series;Data Streams

Abstract

Extracting the underlying trend signal is a crucial step to facilitate time series analysis like forecasting and anomaly detection. Besides noise signal, time series can contain not only outliers but also abrupt trend changes in real-world scenarios. To deal with these challenges, we propose a robust trend filtering algorithm based on robust statistics and sparse learning. Specifically, we adopt the Huber loss to suppress outliers, and utilize a combination of the first order and second order difference on the trend component as regularization to capture both slow and abrupt trend changes. Furthermore, an efficient method is designed to solve the proposed robust trend filtering based on majorization minimization (MM) and alternative direction method of multipliers (ADMM). We compared our proposed robust trend filter with other nine state-of-the-art trend filtering algorithms on both synthetic and real-world datasets. The experiments demonstrate that our algorithm outperforms existing methods.

Qingsong Wen, Jingkun Gao, Xiaomin Song, Liang Sun, and Jian Tan. 2019. RobustTrend: A Huber Loss with a Combined First and Second Order Difference Regularization for Time Series Trend Filtering. In Proceedings of the Twenty-Eighth International Joint Conference on Artificial Intelligence, IJCAI-19. IJCAI, 3856–3862. https://doi.org/10.24963/ijcai.2019/535
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