An efficient and accurate method for evaluating time series similarity

  • Authors:

  • Michael D. Morse;Jignesh M. Patel

  • Affiliations:

  • University of Michigan, Ann Arbor, MI;University of Michigan, Ann Arbor, MI

  • Venue:
  • Proceedings of the 2007 ACM SIGMOD international conference on Management of data
  • Year:
  • 2007

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Abstract

A variety of techniques currently exist for measuring the similarity between time series datasets. Of these techniques, the methods whose matching criteria is bounded by a specified ε threshold value, such as the LCSS and the EDR techniques, have been shown to be robust in the presence of noise, time shifts, and data scaling. Our work proposes a new algorithm, called the Fast Time Series Evaluation (FTSE) method, which can be used to evaluate such threshold value techniques, including LCSS and EDR. Using FTSE, we show that these techniques can be evaluated faster than using either traditional dynamic programming or even warp-restricting methods such as the Sakoe-Chiba band and the Itakura Parallelogram. We also show that FTSE can be used in a framework that can evaluate a richer range of ε threshold-based scoring techniques, of which EDR and LCSS are just two examples. This framework, called Swale, extends the ε threshold-based scoring techniques to include arbitrary match rewards and gap penalties. Through extensive empirical evaluation, we show that Swale can obtain greater accuracy than existing methods.