Trend and seasonality features extraction with pre-trained CNN and recurrence plot

Abstract

GoogLeNet is a pre-trained Convolutional Neural Network (CNN) that allows transfer learning and has achieved high recognition rates in image classification tasks. A Recurrence Plot (RP) is an imaging method that depicts the recurrence of the state space system using coloured points and lines in 2D images. This work contributes to facilitating time series feature extraction by proposing a method that applies the GoogLeNet to time series images obtained with RP. The developed method is tested using simulated time series and selected time series from the M3 competition dataset. The results shows that the transfer learning approach allowed the extraction of business time series features by means of a GoogLeNet fine-tuned using 100 simulated time series. The combination of GoogLeNet and RPs outperforms the alternative and easier combination of GoogLeNet and plots of the time series and support the convenience of the RP transformation step. This application of deep learning techniques to business time series imaging offers opportunity for further developments.