tsfel 0.1.8

Library for time series feature extraction

Time Series Feature Extraction Library

Intuitive time series feature extraction

This repository hosts the TSFEL - Time Series Feature Extraction Library python package. TSFEL assists researchers on exploratory feature extraction tasks on time series without requiring significant programming effort.

Users can interact with TSFEL using two methods:

Online

It does not requires installation as it relies on Google Colabs and a user interface provided by Google Sheets

Offline

Advanced users can take full potential of TSFEL by installing as a python package

pip install tsfel

Includes a comprehensive number of features

TSFEL is optimized for time series and automatically extracts over 65 different features on the statistical, temporal, spectral and fractal domains.

Functionalities

• Intuitive, fast deployment and reproducible: interactive UI for feature selection and customization
• Computational complexity evaluation: estimate the computational effort before extracting features
• Comprehensive documentation: each feature extraction method has a detailed explanation
• Unit tested: we provide unit tests for each feature
• Easily extended: adding new features is easy and we encourage you to contribute with your custom features

Get started

The code below extracts all the available features on an example dataset file.

import tsfel
import pandas as pd

# load dataset
df = pd.read_csv("Dataset.txt")

# Retrieves a pre-defined feature configuration file to extract all available features
cfg = tsfel.get_features_by_domain()

# Extract features
X = tsfel.time_series_features_extractor(cfg, df)

Available features

Statistical domain

Features	Computational Cost
Absolute energy	1
Average power	1
ECDF	1
ECDF Percentile	1
ECDF Percentile Count	1
Entropy	1
Histogram	1
Interquartile range	1
Kurtosis	1
Max	1
Mean	1
Mean absolute deviation	1
Median	1
Median absolute deviation	1
Min	1
Root mean square	1
Skewness	1
Standard deviation	1
Variance	1

Temporal domain

Features	Computational Cost
Area under the curve	1
Autocorrelation	2
Centroid	1
Lempel-Ziv-Complexity*	2
Mean absolute diff	1
Mean diff	1
Median absolute diff	1
Median diff	1
Negative turning points	1
Peak to peak distance	1
Positive turning points	1
Signal distance	1
Slope	1
Sum absolute diff	1
Zero crossing rate	1
Neighbourhood peaks	1

* Disabled by default due to its longer execution time compared to other features.

Spectral domain

Features	Computational Cost
FFT mean coefficient	1
Fundamental frequency	1
Human range energy	1
LPCC	1
MFCC	1
Max power spectrum	1
Maximum frequency	1
Median frequency	1
Power bandwidth	1
Spectral centroid	2
Spectral decrease	1
Spectral distance	1
Spectral entropy	1
Spectral kurtosis	2
Spectral positive turning points	1
Spectral roll-off	1
Spectral roll-on	1
Spectral skewness	2
Spectral slope	1
Spectral spread	2
Spectral variation	1
Wavelet absolute mean	2
Wavelet energy	2
Wavelet standard deviation	2
Wavelet entropy	2
Wavelet variance	2

Fractal domain

Features	Computational Cost
Detrended fluctuation analysis (DFA)	3
Higuchi fractal dimension	3
Hurst exponent	3
Maximum fractal length	3
Multiscale entropy (MSE)	1
Petrosian fractal dimension	1

Fractal domain features are typically applied to relatively longer signals to capture meaningful patterns, and it's usually unnecessary to previously divide the signal into shorter windows. Therefore, this domain is disabled in the default feature configuration files.

Citing

When using TSFEL please cite the following publication:

Barandas, Marília and Folgado, Duarte, et al. "TSFEL: Time Series Feature Extraction Library." SoftwareX 11 ( 2020). https://doi.org/10.1016/j.softx.2020.100456

Acknowledgements

We would like to acknowledge the financial support obtained from the project Total Integrated and Predictive Manufacturing System Platform for Industry 4.0, co-funded by Portugal 2020, framed under the COMPETE 2020 (Operational Programme Competitiveness and Internationalization) and European Regional Development Fund (ERDF) from European Union ( EU), with operation code POCI-01-0247-FEDER-038436.