Data Formats¶
tsfresh offers three different options to specify the time series data to be used in the tsfresh.extract_features()
function. Irrespective of the input format, tsfresh will always return the calculated features in the same output format.
All three input format options consist of pandas.DataFrame objects. There are four important column types that
make up those DataFrames:
Mandatory
| column_id: | This column indicates which entities the time series belong to. Features will be extracted individually for each entity. The resulting feature matrix will contain one row per entity. |
|---|---|
| column_value: | This column contains the actual values of the time series. |
Optional (but strongly recommended to specify)
| column_sort: | This column contains values which allow to sort the time series (e.g. time stamps). It is not required to have equidistant time steps or the same time scale for the different ids and/or kinds. If you omit this column, the DataFrame is assumed to be already sorted in increasing order. |
|---|
Optional
| column_kind: | This column indicates the names of the different time series types (E.g. different sensors in an industrial application). For each kind of time series the features are calculated individually. |
|---|
Important: None of these columns is allowed to contain any NaN, Inf or -Inf values.
- Now there are three slightly different input formats for the time series data:
- 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_value and column_kind in the extract_features function.
Input Option 1. Flat DataFrame¶
If both column_value and 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 is 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 have to look like this:
| id | time | x | y |
|---|---|---|---|
| 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.
Input Option 2. Stacked DataFrame¶
If both column_value and 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 type 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:
| id | time | kind | value |
|---|---|---|---|
| A | t1 | x | x(A, t1) |
| A | t2 | x | x(A, t2) |
| A | t3 | x | x(A, t3) |
| A | t1 | y | y(A, t1) |
| A | t2 | y | y(A, t2) |
| A | t3 | y | y(A, t3) |
| B | t1 | x | x(B, t1) |
| B | t2 | x | x(B, t2) |
| B | t3 | x | x(B, t3) |
| B | t1 | y | y(B, t1) |
| B | t2 | y | y(B, t2) |
| B | t3 | y | y(B, t3) |
Then you would set
column_id="id", column_sort="time", column_kind="kind", column_value="value"
Input Option 3. Dictionary of flat DataFrames¶
Instead of passing a DataFrame which must be split up by its different kinds, 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
{ “x”:
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)
, “y”:
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)
}
tsfresh would be passed this dictionary and 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.
Output Format¶
The resulting feature matrix for all three input options will be the same.
It will always be a pandas.DataFrame with the following layout
| id | x_feature_1 | ... | x_feature_N | y_feature_1 | ... | y_feature_N |
|---|---|---|---|---|---|---|
| A | ... | ... | ... | ... | ... | ... |
| B | ... | ... | ... | ... | ... | ... |
where the x features are calculated using all x values (independently for A and B), y features using all y values and so on.