FEARS: a Feature and Representation Selection approach for Time Series Classification

This paper presents a method which extracts informative features while selecting simultaneously adequate representations for Time Series Classification. This method simultaneously (i) selects alternative representations, such as derivatives, cumulative integrals, power spectrum … (ii) and extracts informative features (via automatic variable construction) from the selected set of representations. The suggested approach is decomposed in three steps: (i) the original time series are transformed into several representations which are stored as relational data; (ii) then, a {regularized} propositionalisation method is applied in order to generate informative aggregate features; (iii) finally, a selective Naive Bayes classifier is learned from the outcoming feature-value data table. The previous steps are repeated by a forward backward selection algorithm in order to select the most informative subset of representations. The suggested approach proves to be highly competitive when compared with state-of-the-art methods while extracting interpretable features. Furthermore, the suggested approach is almost parameter free and only requires few hardware resources.