A time weighted neighbourhood counting similarity for time series analysis

Authors:
Hui Wang;Zhiwei Lin
Affiliations:
School of Computing and Mathematics, University of Ulster at Jordanstown, Northern Ireland, UK;School of Computing and Mathematics, University of Ulster at Jordanstown, Northern Ireland, UK and Key Lab of Network Security and Cryptology, School of Mathematics and Computer Science, Fujian No ...
Venue:
RSKT'08 Proceedings of the 3rd international conference on Rough sets and knowledge technology
Year:
2008

Citing 12
Cited 0

Algorithms for the Longest Common Subsequence Problem

Journal of the ACM (JACM)
Time series similarity measures (tutorial PM-2)

Tutorial notes of the sixth ACM SIGKDD international conference on Knowledge discovery and data mining
Measuring Real-Time Predictive Models

ICDM '01 Proceedings of the 2001 IEEE International Conference on Data Mining
Fast Similarity Search in the Presence of Noise, Scaling, and Translation in Time-Series Databases

VLDB '95 Proceedings of the 21th International Conference on Very Large Data Bases
On Similarity Queries for Time-Series Data: Constraint Specification and Implementation

CP '95 Proceedings of the First International Conference on Principles and Practice of Constraint Programming
Landmarks: A New Model for Similarity-Based Pattern Querying in Time Series Databases

ICDE '00 Proceedings of the 16th International Conference on Data Engineering
Editorial: data mining for financial decision making

Decision Support Systems - Special issue: Data mining for financial decision making
Time weight collaborative filtering

Proceedings of the 14th ACM international conference on Information and knowledge management
Biologically Inspired Algorithms for Financial Modelling (Natural Computing Series)

Biologically Inspired Algorithms for Financial Modelling (Natural Computing Series)
Nearest Neighbors by Neighborhood Counting

IEEE Transactions on Pattern Analysis and Machine Intelligence
All common subsequences

IJCAI'07 Proceedings of the 20th international joint conference on Artifical intelligence
A flexible and robust similarity measure based on contextual probability

IJCAI'05 Proceedings of the 19th international joint conference on Artificial intelligence

Quantified Score

Hi-index	0.00

Visualization

Abstract

Time series data abound and analysis of such data is challenging and potentially rewarding. One example is financial time series analysis. In time series analysis there is the issue of time dependency, that is, the state in the nearer past is more relevant to the current state than that in the more distant past. In this paper we study this issue by introducing time weighting into similarity measures, as similarity is one of the key notions in time series analysis methods. We consider the generic neighbourhood counting similarity as it can be specialised for various forms of data by defining the notion of neighbourhood in a way that satisfies different requirements. We do so with a view to capturing time weights in time series. This results in a novel time weighted similarity for time series. A formula is also discovered for the similarity so that it can be computed efficiently.