关键词: 多元时间序列, 形态特征, 模式匹配, 相似性度量, 动态时间弯曲

Abstract:  With ordinary methods, it is difficult to take relational information between variables while match the local shape of multivariate time series efficiently. To deal with the problem, we propose a multidimensional fitting piecewise method based on dynamic window to segment multivariate time series. Secondly, the inclination angle and time span of a fitting segment in a certain variable dimension are used to construct a feature pattern matrix. A multivariate pattern distance is used to measure similarity between the series. Finally, by comparison with principal component analysis and the matching method based on point distribution for three different data sets, we obtain preferable results, showing that the proposed method is more efficient, especially
for the medium sized time series with multivariate and varying time span.

Key words:  multivariate time series, shape characteristics, pattern matching, similarity measure, dynamic time warping