Windowing (Time Series)

Synopsis

This operator converts one or more time series to a windowed ExampleSet with the windowed values and, if enabled, the horizon values as attributes.

Description

This operator converts time series data into a windowed ExampleSet which can be processed for example with standard machine learning methods. For each time series attribute window size attributes are created, holding the values of the corresponding window. If create horizon (label) is selected horizon size additional attributes are also created, holding the horizon values of the corresponding window.

If has indices is selected, also the last index value of the time series in the corresponding window is added. If has indices is not selected an attribute named Window id with the number of the corresponding window (starting from 0) is added. See the description of the parameter for details.

The described behavior is the default example based windowing. It can be changed to time based windowing or custom windowing by changing the unit parameter. For time based windowing, the windowing parameter are specified in time durations/periods. For the "custom" windowing an additional ExampleSet has to be provided to the new "custom windows" input port. It holds the start (and optional the stop values) of the windows. For more details see the unit parameter and the description of the corresponding parameters.

Expert settings (for example no overlapping windows, a value for the horizon offset, the empty window handling, ...) can be enabled by selecting the corresponding expert settings parameter.

This operator works on all time series (numerical, nominal and time series with date time values).

Input

  • example set (IOObject)

    The ExampleSet which contains the time series data as attributes.

  • custom windows (IOObject)

    The example set which contains the start (and stop) values of the custom windows. Only needs to be connected if the parameter unit is set to custom.

Output

  • windowed example set (IOObject)

    The windowed ExampleSet. For each time series attribute window size attributes are created. Also for each value in the horizon an attribute is created. If an indices attribute is specified, an additional attribute containing the index value of the last value in the window is created. Otherwise an attribute named Window id with the number of the corresponding window (starting from 0) is added.

  • original (IOObject)

    The ExampleSet that was given as input is passed through without changes.

Parameters

  • attribute_filter_type

    This parameter allows you to select the filter for the time series attributes selection filter; the method you want to select the attributes which holds the time series values. The different filter types are:

    • all: This option selects all attributes of the ExampleSet to be time series attributes. This is the default option.
    • single: This option allows the selection of a single time series attribute. The required attribute is selected by the attribute parameter.
    • subset: This option allows the selection of multiple time series attributes through a list (see parameter attributes). If the meta data of the ExampleSet is known all attributes are present in the list and the required ones can easily be selected.
    • regular_expression: This option allows you to specify a regular expression for the time series attribute selection. The regular expression filter is configured by the parameters regular expression, use except expression and except expression.
    • value_type: This option allows selection of all the attributes of a particular type to be time series attributes. It should be noted that types are hierarchical. For example real and integer types both belong to the numeric type. The value type filter is configured by the parameters value type, use value type exception, except value type.
    • block_type: This option allows the selection of all the attributes of a particular block type to be time series attributes. It should be noted that block types may be hierarchical. For example value_series_start and value_series_end block types both belong to the value_series block type. The block type filter is configured by the parameters block type, use block type exception, except block type.
    • no_missing_values: This option selects all attributes of the ExampleSet as time series attributes which do not contain a missing value in any example. Attributes that have even a single missing value are not selected.
    • numeric_value_filter: All numeric attributes whose examples all match a given numeric condition are selected as time series attributes. The condition is specified by the numeric condition parameter.
    Range:
  • attribute

    The required attribute can be selected from this option. The attribute name can be selected from the drop down box of the parameter if the meta data is known.

    Range:
  • attributes

    The required attributes can be selected from this option. This opens a new window with two lists. All attributes are present in the left list. They can be shifted to the right list, which is the list of selected time series attributes.

    Range:
  • regular_expression

    Attributes whose names match this expression will be selected. The expression can be specified through the edit and preview regular expression menu. This menu gives a good idea of regular expressions and it also allows you to try different expressions and preview the results simultaneously.

    Range:
  • use_except_expression

    If enabled, an exception to the first regular expression can be specified. This exception is specified by the except regular expression parameter.

    Range:
  • except_regular_expression

    This option allows you to specify a regular expression. Attributes matching this expression will be filtered out even if they match the first expression (expression that was specified in regular expression parameter).

    Range:
  • value_type

    This option allows to select a type of attribute.

    Range:
  • use_value_type_exception

    If enabled, an exception to the selected type can be specified. This exception is specified by the except value type parameter.

    Range:
  • except_value_type

    The attributes matching this type will be removed from the final output even if they matched the before selected type, specified by the value type parameter.

    Range:
  • block_type

    This option allows to select a block type of attribute.

    Range:
  • use_block_type_exception

    If enabled, an exception to the selected block type can be specified. This exception is specified by the except block type parameter.

    Range:
  • except_block_type

    The attributes matching this block type will be removed from the final output even if they matched the before selected type by the block type parameter.

    Range:
  • numeric_condition

    The numeric condition used by the numeric condition filter type. A numeric attribute is selected if all examples match the specified condition for this attribute. For example the numeric condition '> 6' will keep all numeric attributes having a value of greater than 6 in every example. A combination of conditions is possible: '> 6 && < 11' or '<= 5 || < 0'. But && and || cannot be used together in one numeric condition. Conditions like '(> 0 && < 2) || (>10 && < 12)' are not allowed because they use both && and ||.

    Range:
  • invert_selection

    If this parameter is set to true the selection is reversed. In that case all attributes not matching the specified condition are selected as time series attributes. Special attributes are not selected independent of the invert selection parameter as along as the include special attributes parameter is not set to true. If so the condition is also applied to the special attributes and the selection is reversed if this parameter is checked.

    Range:
  • include_special_attributes

    Special attributes are attributes with special roles. These are: id, label, prediction, cluster, weight and batch. Also custom roles can be assigned to attributes. By default special attributes are not selected as time series attributes irrespective of the filter conditions. If this parameter is set to true, special attributes are also tested against conditions specified and those attributes are selected that match the conditions.

    Range:
  • has_indices

    This parameter indicates if there is an index attribute associated with the time series. If this parameter is set to true, an additional attribute is added which contains the value of the last index value in the corresponding window and is named: Last <indices attribute> in window. The role of this attribute is set to the ID role. If this parameter is set to false, an attribute named Window id is added with the number of the corresponding window (starting from 0).

    Range:
  • indices_attribute

    If the parameter has indices is set to true, this parameter defines the associated index attribute. It can be either a date, date_time or numeric value type attribute. The attribute name can be selected from the drop down box of the parameter if the meta data is known.

    Range:
  • unit

    The mode on how windows are defined. It defines the unit of the window parameters (window size, step size, horizon size and horizon offset).

    • example based: The window parameters are specified in number of examples. This is the default option.
    • time based: The window parameter are specified in time durations/periods (units ranging from milliseconds to years).
    • custom: An additional example set has to be provided to the new "custom windows" input port. It holds the start (and optional the stop values) of the windows.
    Range:
  • windows_defined

    This parameter defines the point from which the windows are defined of.

    • from start: The first window will start at the first example of the input data set. The following windows are set up according to the window parameters.
    • from end: The last window will end at the last example of the input data set. The previous windows are set up according to the window parameters.
    • custom start: The first window will start at the custom start point provided by the parameter start end point. The following windows are set up according to the window parameters.
    • custom end: The last window will end at the custom start point provided by the parameter start end point. The following windows are set up according to the window parameters.
    Range:
  • start_end_point

    If the parameter windows defined is set to custom start or custom end and the unit is set to example based, this parameter defines the custom point from which the windows start (windows defined = custom start) or where they end (windows defined = custom end).

    Range:
  • start_end_point_date_time

    If the parameter windows defined is set to custom start or custom end and the unit is set to time based, this parameter defines the custom date time point from which the windows start (windows defined = custom start) or where they end (windows defined = custom end).

    The date time format used to interpret the string provided in this parameter is defined by the parameter date format.

    Range:
  • date_format

    Date format used for the start end point date time parameter.

    Range:
  • window_size

    The number of values in one window. The windowed ExampleSet will contain one attribute per value in the window. The attributes are named <time series attribute name> - i with i running from (window size - 1), ..., 0 The window size has to be smaller or equal to the length of the time series.

    Range:
  • window_size_time

    The time duration/period of one window.

    The windowed example set will contain one attribute per example in the window. Hence, the window with the most examples will define how many attributes the resulting windowed example set will have. For windows with less examples, the other attributes are filled with missing values.

    The attributes are named <time series attribute name> - i with i running from (max number of examples in windows - 1), ..., 0

    The window size time has to be smaller or equal to the time duration of the time series.

    Range:
  • no_overlapping_windows

    If this parameter is set to true, the parameter stepsize is determined automatically, so that windows and horizons don't overlap. The stepsize is set to window size + horizon size + horizon offset.

    Range:
  • step_size

    The step size between the first values of two consecutive windows. E.g. with a window size of 10 and a step size of 2, the first window has the values from 0, ..., 9, the second window the values from 2, ..., 11 and so on. If no overlapping windows is set to true the step size is automatically determined depending on window size, horizon size and horizon offset.

    Range:
  • step_size_time

    The step size (in units of time) between the start points of two consecutive windows. E.g. with a window size of 1 week and a step size of 2 days, the first window has the days from 0, ..., 6, the second window the days from 2, ..., 8 and so on. If no overlapping windows is set to true the step size time is automatically determined depending on window size time, horizon size time and horizon offset time.

    Range:
  • create_horizon_(labels)

    If this parameter is set to true, one or more label attributes are created, containing the horizon of the windows. The parameter horizon attribute, horizon size and horizon offset are used to define the horizon.

    Range:
  • horizon_attribute

    If the parameter create horizon (labels) is set to true, this parameter defines the attribute holding the horizon. The attribute name can be selected from the drop down box of the parameter if the meta data is known.

    Range:
  • horizon_size

    The number of values taken as the horizon. For each value in the horizon, an attribute is created, named <time series attribute name> + i (horizon) with i running from 1, ..., horizon size. If the horizon size is one, the role of the created attribute is set to label. If the size is larger (and thus more than one attribute is created), the role of the attributes are set to Horizon + i, with i running from 1, ..., horizon size.

    Range:
  • horizon_size_time

    The time duration/period taken as the horizon. The windowed example set will contain one attribute per example in the horizon window. Hence, the horizon window with the most examples (maximum number of horizon values) will define how many attributes are added. For windows with less examples, the other attributes are filled with missing values.

    The name of the new attributes are <time series attribute name> + i (horizon) with i running from 1, ..., maximum number of horizon values. If the maximum number of horizon values is one, the role of the created attribute is set to label. If it is larger the role of the attributes are set to Horizon + i, with i running from 1, ..., horizon size.

    Range:
  • horizon_offset

    The offset between the windows and their corresponding horizon. If the offset is 0 the horizon is taken from the consecutive values behind the window. Otherwise the horizon is horizon offset values behind the end of the window.

    Range:
  • horizon_offset_time

    The offset (in time units) between the windows and their corresponding horizons. If the offset is 0 the horizon is set directly behind the window. Otherwise the horizon starts the time duration provided by this parameter behind the end of the window.

    Range:
  • windows_stop_definition

    Defines if the end of the custom windows are either defined by the start of the next window (windows are spanning over the whole index range) or from an additional attribute.

    • from next window start: The end of the windows are defined by the start of the next window (windows are spanning over the whole index range) Training windows end at the start of the next horizon window (or the next training window, if there aren't horizon windows). Horizon windows end at the start of the next training window. Be aware that the last value of the start definition values (the last value of the horizon start attribute or the last value of the window start attribute, if there aren't horizon windows) is only used as the end of the final window.
    • from attribute: The end of the windows are defined by additional attribute(s) in the custom window example set. The attribute names have to be provided by the parameters window stop attribute and horizon stop attribute.
    Range:
  • window_start_attribute

    This parameter defines the attribute in the custom window example set (the example set provided at the custom windows input port) which contains the start values for the custom training windows.

    The window start attribute, window stop attribute, horizon start attribute and horizon stop attribute have to be of the same data type. If the data type is integer, the windowing is example based (see parameter unit) otherwise the attributes needs to be the same data type as the indices attribute.

    Range:
  • window_stop_attribute

    This parameter defines the attribute in the custom window example set (the example set provided at the custom windows input port) which contains the end values for the custom training windows.

    The window start attribute, window stop attribute, horizon start attribute and horizon stop attribute have to be of the same data type. If the data type is integer, the windowing is example based (see parameter unit) otherwise the attributes needs to be the same data type as the indices attribute.

    Range:
  • horizon_start_attribute

    This parameter defines the attribute in the custom window example set (the example set provided at the custom windows input port) which contains the start values for the custom horizon windows.

    The window start attribute, window stop attribute, horizon start attribute and horizon stop attribute have to be of the same data type. If the data type is integer, the windowing is example based (see parameter unit) otherwise the attributes needs to be the same data type as the indices attribute.

    Range:
  • horizon_stop_attribute

    This parameter defines the attribute in the custom window example set (the example set provided at the custom windows input port) which contains the stop values for the custom horizon windows.

    The window start attribute, window stop attribute, horizon start attribute and horizon stop attribute have to be of the same data type. If the data type is integer, the windowing is example based (see parameter unit) otherwise the attributes needs to be the same data type as the indices attribute.

    Range:
  • empty_window_handling

    This parameter defines how empty windows (windows which do not contain an Example) will be handled.

    • add empty exampleset: Empty windows will be added as an empty ExampleSet, or a row with missing values.
    • skip: Empty windows will be skipped completely in the processing. If horizon windows are created as well and either the training or the horizon window is empty, the processing for both windows is skipped
    • fail: A user error is thrown, if an empty window occurs.
    Range:

Tutorial Processes

Windowing of the Lake Huron data set

Simple windowing of the Lake Huron data set.

Time Based Windowing of the Lake Huron data set

Windows are defined by time periods. The provided settings in this process shows windows with different number of examples.

Custom Example Based Windowing of the Demo Data Set

Windows are defined by custom windows. A demonstration time series data set is created where the value attribute also contains the indices, so that the effect of the windowing is directly shown. An additional custom window data set is created which contains the start and stop values of the windows (example based).

Custom Time Based Windowing of the Demo Data Set

Windows are defined by custom windows. A demonstration time series data set is created where the value attribute also contains the indices, so that the effect of the windowing is directly shown. An additional custom window data set is created which contains the start and stop values of the windows (time based).