The Wasserstein-Fourier Distance for Stationary Time Series
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We introduce a novel framework for analysing stationary time series based on optimal transport distances and spectral embeddings. First, we represent time series by their power spectral density (PSD), which summarises the signal energy spread across the Fourier spectrum. Second, we endow the space of PSDs with the Wasserstein distance, which capitalises its unique ability to preserve the geometric information of a set of distributions. These two steps enable us to define the Wasserstein-Fourier (WF) distance, which allows us to compare stationary time series even when they differ in sampling rate, length, magnitude and phase. We analyse the features of WF by blending the properties of the Wasserstein distance and those of the Fourier transform. The proposed WF distance is then used in three sets of key time series applications considering real-world datasets: (i) interpolation of time series leading to data augmentation, (ii) dimensionality reduction via non-linear PCA, and (iii) parametric and non-parametric classification tasks. Our conceptual and experimental findings validate the general concept of using divergences of distributions, especially the Wasserstein distance, to analyse time series through comparing their spectral representations.
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