Similarity Match Over High Speed Time-Series Streams

Similarity-based time series retrieval has been a subject of long term study due to its wide usage in many applications, such as financial data analysis, weather data forecasting, and multimedia data retrieval. Its original task was to find those time series similar to a pattern (query) time series data, where both the pattern and data time series are static. Recently, with an increasing demand on stream data management, similarity-based stream time series retrieval has raised new research issues due to its unique requirements during the stream processing, such as one-pass search and fast response. In this paper, we address the problem of matching patterns over high-speed stream time series data. We will develop a novel representation, called multi-scaled segment mean (MSM), for stream time series data, which can be incrementally computed and thus perfectly adapted to the stream characteristics. Most importantly, we propose a novel multi-step filtering mechanism over the multi-scaled representation. Analysis indicates that the mechanism can greatly prune the search space and thus offer fast response. Extensive experiments show the multi-scaled representation together with the multi-step filtering scheme can efficiently filter out false candidates and detect patterns, compared to the multiscaled wavelet.