Multivariate times series classification through an interpretable representation

Multivariate time series classification is a machine learning task with increasing importance due to the proliferation of information sources in different domains (economy, health, energy, crops, etc.). Univariate methods lack the ability to capture the relationships between the different variables that compose a multivariate time series and therefore cannot be directly extrapolated to multivariate environments. Despite the good performance and competitive results of the multivariate proposals published to date, they are hard to interpret due to their high complexity. In this paper, we propose a multivariate time series classification method based on an alternative representation of the time series, composed of a set of 41 descriptive time series features, in order to improve the interpretability of time series and results obtained. Our proposal uses traditional classifiers over the extracted features to look for relationships between the different variables that form a multivariate time series. We have selected four state-of-the-art algorithms as base classifiers to evaluate our method. We have tested our proposal on the complete University of East Anglia repository, obtaining highly interpretable results capable of explaining the relationships between the features that compose the time series and achieving performance results statistically indistinguishable from the best algorithms of the state-of-the-art. (c) 2021 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).