The similarity of multivariate time series and its application

摘要：

Firstly, from the external structure of the multivariate time series ( ) matrix, the article defines the similarity function based on the Range and the number of the different samples of the two matrixes difference; Afterward, considering the correlations between the column vectors of the matrix, the internal factors of the matrix, defines the similarity function based on the weighted square norm of the corresponding covariance matrix; and constructs the similarity function by weighted the two defined functions. Lastly, applying the similarity function of two s to the clustering the database, the algorithm is very effective.

关键词： multivariate time series matrix forenius norm MTS similarity

作者: Lin Xun Li Zhishu

作者单位: School of Economic Information Engineering,Southwestern University of Finance and Economics (SWUFE), School of Computer, Si Chuan University (SCU),Chengdu 610064, China

会议类型: 国际会议

会议名称: 2010 International Conference on Management of e-Commerce and e-Government(第四届电子商务与电子政务管理国际会议 ICMeCG 2010)

会议地点: 成都

会议语种:英文

页码: 76-81

在线出版日期: 2010-10-23（万方平台首次上网日期，不代表论文的发表时间）