Time Series pattern recognition and classification problem I have some labeled sensor data.

Now, I would like to know how to extract features from time series using DFT, DWT, and HAAR transforms. 

I know that the transformations above transform a signal to frequency or time frequency domain, but how can I get average frequency for this non stationary signal? 

Thanks.
I do not fully understand what you mean by "average frequency". But this may help to think about it.


You can calculate the power spectrum of the signal using DFT. 
From the power spectrum, you will be able to get the average power of all the frequencies.
Use this value of average power to map the frequency which it closely corresponds to. 


This will give a sort of the average frequency you are looking for from the average value of power.