A Supervised Time Series Feature Extraction Technique Using DCT and DWT

The increased availability of time series datasets prompts the development of new tools and methods that allow machine learning classifiers to better cope with time series data. Time series data are usually characterized by a high space dimensionality and a very strong correlation among features. This special nature makes the development of effective time series classifiers a challenging task. This work proposes and analyzes methods combining spectral decomposition and feature selection for time series classification problems and compares them against methods that work with original time series and time-dependent features. Briefly, our approach first applies discrete cosine transform (DCT) or discrete wavelet transform (DWT) on time series data. Then, it performs supervised feature selection/reduction by selecting only the most discriminative set of coefficients to represent the data. Experimental evaluations, carried out on multiple datasets, demonstrate the benefits of our approach in learning efficient and accurate time series classifiers.