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Local Correlation Tracking in Time Series
Hong Kong December 18-December 22
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/ICDM.2006.99Sixth IEEE International Conference o ...
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Spiros Papadimitriou, IBM T.J. Watson Research Center, USA
Jimeng Sun, Carnegie Mellon University, USA
Philip S. Yu, IBM T.J. Watson Research Center, USA
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.
Citation:
Spiros Papadimitriou, Jimeng Sun, Philip S. Yu, "Local Correlation Tracking in Time Series," icdm, pp.456-465, Sixth IEEE International Conference on Data Mining (ICDM'06), 2006
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