A new time series similarity measurement method based on the morphological pattern and symbolic aggregate approximation

Abstract

Aiming at the problem that the traditional similarity measurement methods cannot effectively measure the similarity of the time series with the difference both in the trend and detail, this paper proposes a new time series similarity measurement method (MP-SAX) based on the morphological pattern (MP) and symbolic aggregate approximation (SAX). According to the empirical mode decomposition (EMD), the time series are decomposed and reconstructed into the trend component and the detail component. Then, the similarity of the trend component under morphological pattern coding and that of the detail component under symbolic aggregate approximation coding are respectively calculated by the longest common subsequence (LCS). Finally, the similarity of the time series is obtained by weighted aggregation of the similarity of trend component and detail component. The MP-SAX is verified by the simulation time series and the time series from UCR Time Series Classification / Clustering Homepage. The results show that the MP-SAX can effectively measure the similarity of the time series with the changes both in trend and detail.