A single index approach for time-series subsequence matching that supports moving average transform of arbitrary order

Abstract

Moving average transform is known to reduce the effect of noise and has been used in many areas such as econometrics. Previous subsequence matching methods with moving average transform, however, would incur index overhead both in storage space and in update maintenance since the methods should build multiple indexes for supporting arbitrary orders. To solve this problem, we propose a single index approach for subsequence matching that supports moving average transform of arbitrary order. For a single index approach, we first provide the notion of poly-order moving average transform by generalizing the original definition of moving average transform. We then formally prove correctness of the poly-order transform-based subsequence matching. By using the poly-order transform, we also propose two different subsequence matching methods that support moving average transform of arbitrary order. Experimental results for real stock data show that our methods improve average performance significantly, by 22.4-33.8 times, over the sequential scan. © Springer-Verlag Berlin Heidelberg 2006.