Time series analysis with multiple resolutions

  • Authors:
  • Qiang Wang;Vasileios Megalooikonomou;Christos Faloutsos

  • Affiliations:
  • Fox Chase Cancer Center, Philadelphia, PA 19111, USA and Department of Computer and Information Sciences, Temple University, Philadelphia, PA 19122, USA;Department of Computer and Information Sciences, Temple University, Philadelphia, PA 19122, USA;Department of Computer Science, Carnegie Mellon University, Pittsburgh, PA 15213, USA

  • Venue:
  • Information Systems
  • Year:
  • 2010

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Abstract

We introduce a new representation for time series, the Multiresolution Vector Quantized (MVQ) approximation, along with a distance function. Similar to Discrete Wavelet Transform, MVQ keeps both local and global information about the data. However, instead of keeping low-level time series values, it maintains high-level feature information (key subsequences), facilitating the introduction of more meaningful similarity measures. The method is fast and scales linearly with the database size and dimensionality. Contrary to previous methods, the vast majority of which use the Euclidean distance, MVQ uses a multiresolution/hierarchical distance function. In our experiments, the proposed technique consistently outperforms the other major methods.