Generalized Framework for Similarity Measure of Time Series

Hongsheng Yin, Honggang Qi, Jingwen Xu, William N. N. Hung and Xiaoyu Song

Mathematical Problems in Engineering, 2014, vol. 2014, 1-12

Abstract:

Currently, there is no definitive and uniform description for the similarity of time series, which results in difficulties for relevant research on this topic. In this paper, we propose a generalized framework to measure the similarity of time series. In this generalized framework, whether the time series is univariable or multivariable, and linear transformed or nonlinear transformed, the similarity of time series is uniformly defined using norms of vectors or matrices. The definitions of the similarity of time series in the original space and the transformed space are proved to be equivalent. Furthermore, we also extend the theory on similarity of univariable time series to multivariable time series. We present some experimental results on published time series datasets tested with the proposed similarity measure function of time series. Through the proofs and experiments, it can be claimed that the similarity measure functions of linear multivariable time series based on the norm distance of covariance matrix and nonlinear multivariable time series based on kernel function are reasonable and practical.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:572124

DOI: 10.1155/2014/572124

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