tsfresh offers three different options to specify the time series data to be used in the
tsfresh.extract_features() function (and all utility functions that expect a time series, e.g. the
Irrespective of the input format, tsfresh will always return the calculated features in the same output format described below.
Typically, the input format options consist of
(see Large Input Data for other input types)
There are four important column types that
make up those DataFrames. Each will be described with an example from the robot failures dataset
(see Quick Start).
|column_id:||This column indicates which entities the time series belong to. Features will be extracted individually for each entity (id). The resulting feature matrix will contain one row per id. Each robot is a different entity, so each of it has a different id.|
|column_sort:||This column contains values which allow to sort the time series (e.g. time stamps). In general, it is not required to have equidistant time steps or the same time scale for the different ids and/or kinds. Some features might make however only sense for equidistant time stamps. If you omit this column, the DataFrame is assumed to be already sorted in ascending order. The robot sensor measurements each have a time stamp which is used in this column.|
Need only to be specified on some data formats (see below):
|column_value:||This column contains the actual values of the time series. This corresponds to the measured values for different the sensors on the robots.|
|column_kind:||This column indicates the names of the different time series types (e.g. different sensors in an industrial application as in the robot dataset). For each kind of time series the features are calculated individually.|
Important: None of these columns is allowed to contain any
In the following we describe the different input formats, that are build on those columns:
- A flat DataFrame
- A stacked DataFrame
- A dictionary of flat DataFrames
The difference between a flat and a stacked DataFrame is indicated by specifying or not specifying the parameters
column_kind in the
If you do not know which one to choose, you probably want to try out the flat or stacked DataFrame.
Input Option 1. Flat DataFrame or Wide DataFrame¶
column_kind are set to
None, the time series data is assumed to be in a flat
DataFrame. This means that each different time series must be saved as its own column.
Example: Imagine you record the values of time series x and y for different objects A and B for three different times t1, t2 and t3. Now you want to calculate some feature with tsfresh. Your resulting DataFrame may look like this:
|A||t1||x(A, t1)||y(A, t1)|
|A||t2||x(A, t2)||y(A, t2)|
|A||t3||x(A, t3)||y(A, t3)|
|B||t1||x(B, t1)||y(B, t1)|
|B||t2||x(B, t2)||y(B, t2)|
|B||t3||x(B, t3)||y(B, t3)|
and you would pass
column_id="id", column_sort="time", column_kind=None, column_value=None
to the extraction functions, to extract features separately for all ids and separately for the x and y values.
You can also omit the
column_kind=None, column_value=None as this is the default.
Input Option 2. Stacked DataFrame or Long DataFrame¶
column_kind are set, the time series data is assumed to be a stacked DataFrame.
This means that there are no different columns for the different types of time series.
This representation has several advantages over the flat Data Frame.
For example, the time stamps of the different time series do not have to align.
It does not contain different columns for the different types of time series but only one value column and a kind column. The example from above would look like this:
Then you would set
column_id="id", column_sort="time", column_kind="kind", column_value="value"
to end up with the same extracted features as above.
You can also omit the value column and let
tsfresh can deduce it automatically.
Input Option 3. Dictionary of flat DataFrames¶
Instead of passing a DataFrame which must be split up by its different kinds by tsfresh, you can also give a dictionary mapping from the kind as string to a DataFrame containing only the time series data of that kind. So essentially you are using a singular DataFrame for each kind of time series.
The data from the example can be split into two DataFrames resulting in the following dictionary
id time value A t1 x(A, t1) A t2 x(A, t2) A t3 x(A, t3) B t1 x(B, t1) B t2 x(B, t2) B t3 x(B, t3)
id time value A t1 y(A, t1) A t2 y(A, t2) A t3 y(A, t3) B t1 y(B, t1) B t2 y(B, t2) B t3 y(B, t3)
You would pass this dictionary to tsfresh together with the following arguments:
column_id="id", column_sort="time", column_kind=None, column_value="value":
In this case we do not need to specify the kind column as the kind is the respective dictionary key.
The resulting feature matrix for all three input options will be the same.
It will always be a
pandas.DataFrame with the following layout
where the x features are calculated using all x values (independently for A and B), y features using all y values and so on.
This form of DataFrame is also the expected input format to the feature selection algorithms (e.g. the