Fast subsequence matching in time-series databases
SIGMOD '94 Proceedings of the 1994 ACM SIGMOD international conference on Management of data
Efficiently supporting ad hoc queries in large datasets of time sequences
SIGMOD '97 Proceedings of the 1997 ACM SIGMOD international conference on Management of data
Mining high-speed data streams
Proceedings of the sixth ACM SIGKDD international conference on Knowledge discovery and data mining
Locally adaptive dimensionality reduction for indexing large time series databases
SIGMOD '01 Proceedings of the 2001 ACM SIGMOD international conference on Management of data
Mining data streams under block evolution
ACM SIGKDD Explorations Newsletter
Continually evaluating similarity-based pattern queries on a streaming time series
Proceedings of the 2002 ACM SIGMOD international conference on Management of data
Efficient Similarity Search In Sequence Databases
FODO '93 Proceedings of the 4th International Conference on Foundations of Data Organization and Algorithms
Pattern Extraction for Time Series Classification
PKDD '01 Proceedings of the 5th European Conference on Principles of Data Mining and Knowledge Discovery
Fast Time Sequence Indexing for Arbitrary Lp Norms
VLDB '00 Proceedings of the 26th International Conference on Very Large Data Bases
Clustering Data Streams: Theory and Practice
IEEE Transactions on Knowledge and Data Engineering
Haar Wavelets for Efficient Similarity Search of Time-Series: With and Without Time Warping
IEEE Transactions on Knowledge and Data Engineering
Efficient Time Series Matching by Wavelets
ICDE '99 Proceedings of the 15th International Conference on Data Engineering
Online Data Mining for Co-Evolving Time Sequences
ICDE '00 Proceedings of the 16th International Conference on Data Engineering
Warping indexes with envelope transforms for query by humming
Proceedings of the 2003 ACM SIGMOD international conference on Management of data
A Unified Framework for Monitoring Data Streams in Real Time
ICDE '05 Proceedings of the 21st International Conference on Data Engineering
BRAID: stream mining through group lag correlations
Proceedings of the 2005 ACM SIGMOD international conference on Management of data
StatStream: statistical monitoring of thousands of data streams in real time
VLDB '02 Proceedings of the 28th international conference on Very Large Data Bases
Exact indexing of dynamic time warping
VLDB '02 Proceedings of the 28th international conference on Very Large Data Bases
Identifying Similar Subsequences in Data Streams
DEXA '08 Proceedings of the 19th international conference on Database and Expert Systems Applications
| Hi-index | 0.00 |
Consider the problem of monitoring multiple data streams and finding all correlated pairs in real time. Such correlations are of special interest for many applications, e.g., the price of two stocks may demonstrate quite similar rise/fall patterns, which provides the market trader with an opportunity of arbitrage. However, the correlated patterns may occur on any unknown scale, with arbitrary lag or even out of phase, which blinds most traditional methods. In this paper, we propose TWStream, a method that can detect pairs of streams, of which subsequences are correlated with elastic shift and arbitrary lag in the time axis. Specifically, (1) to accommodate varying scale and arbitrary lag, we propose to use the geometric time frame in conjunction with a piecewise smoothing approach; (2) to detect unsynchronized correlation, we extend the cross correlation to support time warping, which is proved much more robust than Euclidian based metrics. Our method has a sound theoretical foundation, and is efficient in terms of both time and space complexity. Experiments on both synthetic and real data are done to show its effectiveness and efficiency.