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Haar Wavelets for Efficient Similarity Search of Time-Series: With and Without Time Warping
May/June 2003 (vol. 15 no. 3)
pp. 686-705

Abstract—We address the handling of time series search based on two important distance definitions: Euclidean distance and time warping distance. Conventional method reduces the dimensionality by means of Discrete Fourier Transform. We apply the Haar Wavelet Transform technique and propose the use of a proper normalization so that the method can guarantee no false dismissal for Euclidean distance. We found that this method has competitive performance from our experiments. Euclidean distance measurement cannot handle the time shifts of patterns. It fails to match the same rise and fall patterns of sequences with different scales. A distance measure that handles this problem is the time warping distance. However, the complexity of computing the time warping distance function is high. Also, as time warping distance is not a metric, most indexing techniques would not guarantee any false dismissal. We propose efficient strategies to mitigate the problems of time warping. We suggest a Haar wavelet-based approximation function for time warping distance, called Low Resolution Time Warping, which results in less computation by trading off a small amount of accuracy. We apply our approximation function to similarity search in time series databases, and show by experiment that it is highly effective in suppressing the number of false alarms in similarity search.

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Index Terms:
Similarity search, time warping, wavelets, dimension reduction, multidimensional index, time series database, data mining.
Franky Kin-Pong Chan, Ada Wai-chee Fu, Clement Yu, "Haar Wavelets for Efficient Similarity Search of Time-Series: With and Without Time Warping," IEEE Transactions on Knowledge and Data Engineering, vol. 15, no. 3, pp. 686-705, May-June 2003, doi:10.1109/TKDE.2003.1198399
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