TY - GEN
T1 - Local correlation tracking in time series
AU - Papadimitriou, Spiros
AU - Sun, Jimeng
AU - Allen, Gabrielle Dawn
N1 - This work is a contribution to the Efficient Low-Cost Monitoring of Calanus (ELMOC) project supported by the Research Council of Norway, contract no. 178102/S40. The authors would like to thank John Terje Eilertsen at the University of Tromsø and the captain and crew of the research vessel M/S H U Sverdup II.
PY - 2006
Y1 - 2006
N2 - We address the problem of capturing and tracking local correlations among time evolving time series. Our approach is based on comparing the local auto-covariance matrices (via their spectral decompositions) of each series and generalizes the notion of linear cross-correlation. In this way, it is possible to concisely capture a wide variety of local patterns or trends. Our method produces a general similarity score, which evolves over time, and accurately reflects the changing relationships. Finally, it can also be estimated incrementally, in a streaming setting. We demonstrate its usefulness, robustness and efficiency on a wide range of real datasets.
AB - We address the problem of capturing and tracking local correlations among time evolving time series. Our approach is based on comparing the local auto-covariance matrices (via their spectral decompositions) of each series and generalizes the notion of linear cross-correlation. In this way, it is possible to concisely capture a wide variety of local patterns or trends. Our method produces a general similarity score, which evolves over time, and accurately reflects the changing relationships. Finally, it can also be estimated incrementally, in a streaming setting. We demonstrate its usefulness, robustness and efficiency on a wide range of real datasets.
UR - https://www.scopus.com/pages/publications/34748889498
UR - https://www.scopus.com/pages/publications/34748889498#tab=citedBy
U2 - 10.1109/ICDM.2006.99
DO - 10.1109/ICDM.2006.99
M3 - Conference contribution
AN - SCOPUS:34748889498
SN - 0769527019
SN - 9780769527017
T3 - Proceedings - IEEE International Conference on Data Mining, ICDM
SP - 456
EP - 465
BT - Proceedings - Sixth International Conference on Data Mining, ICDM 2006
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 6th International Conference on Data Mining, ICDM 2006
Y2 - 18 December 2006 through 22 December 2006
ER -