Correlation based dynamic time warping of multivariate time series

Zoltán Bankó, J. Abonyi

Research output: Contribution to journalArticle

73 Citations (Scopus)

Abstract

In recent years, dynamic time warping (DTW) has begun to become the most widely used technique for comparison of time series data where extensive a priori knowledge is not available. However, it is often expected a multivariate comparison method to consider the correlation between the variables as this correlation carries the real information in many cases. Thus, principal component analysis (PCA) based similarity measures, such as PCA similarity factor (SPCA), are used in many industrial applications. In this paper, we present a novel algorithm called correlation based dynamic time warping (CBDTW) which combines DTW and PCA based similarity measures. To preserve correlation, multivariate time series are segmented and the local dissimilarity function of DTW originated from SPCA. The segments are obtained by bottom-up segmentation using special, PCA related costs. Our novel technique qualified on two databases, the database of signature verification competition 2004 and the commonly used AUSLAN dataset. We show that CBDTW outperforms the standard SPCA and the most commonly used, Euclidean distance based multivariate DTW in case of datasets with complex correlation structure.

Original languageEnglish
Pages (from-to)12814-12823
Number of pages10
JournalExpert Systems with Applications
Volume39
Issue number17
DOIs
Publication statusPublished - Dec 1 2012

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Time series
Principal component analysis
Industrial applications
Costs

Keywords

  • Dynamic time warping
  • Multivariate time series
  • Principal component analysis
  • Segmentation
  • Similarity

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computer Science Applications
  • Engineering(all)

Cite this

Correlation based dynamic time warping of multivariate time series. / Bankó, Zoltán; Abonyi, J.

In: Expert Systems with Applications, Vol. 39, No. 17, 01.12.2012, p. 12814-12823.

Research output: Contribution to journalArticle

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