Automatic Feature Engineering for Time Series Classification: Evaluation
  and Discussion
Aurélien Renault Alexis Bondu Vincent Lemaire Dominique Gay
Time Series Classification (TSC) has received much attention in the past two
decades and is still a crucial and challenging problem in data science and
knowledge engineering. Indeed, along with the increasing availability of time
series data, many TSC algorithms have been suggested by the research community
in the literature. Besides state-of-the-art methods based on similarity
measures, intervals, shapelets, dictionaries, deep learning methods or hybrid
ensemble methods, several tools for extracting unsupervised informative summary
statistics, aka features, from time series have been designed in the recent
years. Originally designed for descriptive analysis and visualization of time
series with informative and interpretable features, very few of these feature
engineering tools have been benchmarked for TSC problems and compared with
state-of-the-art TSC algorithms in terms of predictive performance. In this
article, we aim at filling this gap and propose a simple TSC process to
evaluate the potential predictive performance of the feature sets obtained with
existing feature engineering tools. Thus, we present an empirical study of 11
feature engineering tools branched with 9 supervised classifiers over 112 time
series data sets. The analysis of the results of more than 10000 learning
experiments indicate that feature-based methods perform as accurately as
current state-of-the-art TSC algorithms, and thus should rightfully be
considered further in the TSC literature.