用分形与目标检测思想融合新定义时间序列相似度,效果媲美调参后的经典方法。
Multiscale Dubuc: A New Similarity Measure for Time Series
- 融合分形的杜布克变差与交并比,构建新型多尺度距离度量
- 95个数据集测试中,无需调参即达DTW最优窗口水平,部分数据集可显著提升
- 计算复杂度线性,适合超大规模时间序列场景
在时间序列分析中,有意义地量化序列间相似性仍是挑战,现有方法多依赖欧氏距离、最长公共子序列和动态时间规整等少数度量。本文提出一种新度量——多尺度杜布克距离(MDD),将分形分析中的杜布克变差与目标识别中广泛使用的交并比(IoU)相结合。本研究证明了MDD满足度量公理,具备三角不等式等优良性质。在UCR时间序列分类归档的95个数据集上,实验表明MDD在无任何特定数据集调参的情况下,整体表现与经优化窗口的DTW相当;在若干数据集上,仅通过单一参数调整即可实现显著性能提升,该特性可用于评估模型对噪声的敏感度。此外,MDD的时间复杂度为线性,对处理超大规模时间序列至关重要。
原文摘要 · Abstract (English)
Quantifying similarities between time series in a meaningful way remains a challenge in time series analysis, despite many advances in the field. Most real-world solutions still rely on a few popular measures, such as Euclidean Distance (EuD), Longest Common Subsequence (LCSS), and Dynamic Time Warping (DTW). The strengths and weaknesses of these measures have been studied extensively, and incremental improvements have been proposed. In this study, however, we present a different similarity measure that fuses the notion of Dubuc's variation from fractal analysis with the Intersection-over-Union (IoU) measure which is widely used in object recognition (also known as the Jaccard Index). In this proof-of-concept paper, we introduce the Multiscale Dubuc Distance (MDD) measure and prove that it is a metric, possessing desirable properties such as the triangle inequality. We use 95 datasets from the UCR Time Series Classification Archive to compare MDD's performance with EuD, LCSS, and DTW. Our experiments show that MDD's overall success, without any case-specific customization, is comparable to DTW with optimized window sizes per dataset. We also highlight several datasets where MDD's performance improves significantly when its single parameter is customized. This customization serves as a powerful tool for gauging MDD's sensitivity to noise. Lastly, we show that MDD's running time is linear in the length of the time series, which is crucial for real-world applications involving very large datasets.
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