Season- and Trend-aware Symbolic Approximation for Accurate and Efficient Time Series Matching

Abstract

Processing and analyzing time series datasets have become a central issue in many domains requiring data management systems to support time series as a native data type. A core access primitive of time series is matching, which requires efficient algorithms on-top of appropriate representations like the symbolic aggregate approximation (SAX) representing the current state of the art. This technique reduces a time series to a low-dimensional space by segmenting it and discretizing each segment into a small symbolic alphabet. Unfortunately, SAX ignores the deterministic behavior of time series such as cyclical repeating patterns or a trend component affecting all segments, which may lead to a sub-optimal representation accuracy. We therefore introduce a novel season- and a trend-aware symbolic approximation and demonstrate an improved representation accuracy without increasing the memory footprint. Most importantly, our techniques also enable a more efficient time series matching by providing a match up to three orders of magnitude faster than SAX.