An Interweaved HMM/DTW Approach to Robust Time Series Clustering

  • Authors:
  • Jianying Hu;Bonnie Ray;Lanshan Han

  • Affiliations:
  • IBM T.J.Watson Research Center, Yorktown Heights, NY;IBM T.J.Watson Research Center, Yorktown Heights, NY;Rensselaer Polytechnic Institute, 110 8th Street, Troy, NY

  • Venue:
  • ICPR '06 Proceedings of the 18th International Conference on Pattern Recognition - Volume 03
  • Year:
  • 2006

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Abstract

We introduce an approach for model-based sequence clustering that addresses several drawbacks of existing algorithms. The approach uses a combination of Hidden Markov Models (HMMs) for sequence estimation and Dynamic Time Warping (DTW) for hierarchical clustering, with interlocking steps of model selection, estimation and sequence grouping. We demonstrate experimentally that the algorithm can effectively handle sequences of widely varying lengths, unbalanced cluster sizes, as well as outliers.