Universal Event Detection in Time Series

In our previously published work, we introduced a supervised deep learning method for event detection in multivariate time series data, employing regression instead of binary classification. This simplification avoids the need for point-wise labels throughout the entire dataset, relying solely on ground truth events defined as time points or intervals. In this paper, we establish mathematically that our method is universal, and capable of detecting any type of event with arbitrary precision under mild continuity assumptions on the time series. These events may encompass change points, frauds, anomalies, physical occurrences, and more. We substantiate our theoretical results using the universal approximation theorem for feed-forward neural networks (FFN). Additionally, we provide empirical validations that confirm our claims, demonstrating that our method, with a limited number of parameters, outperforms other deep learning approaches, particularly for rare events and imbalanced datasets from different domains.