Abstract
There has been increased interest in time series data mining recently. In some cases, approaches of real-time segmenting time series are necessary in time series similarity search and data mining, and this is the focus of this paper. A real-time iterative algorithm that is based on time series prediction is proposed in this paper. Proposed algorithm consists of three modular steps. (1) Modeling: the step identifies an autoregressive moving average (ARMA) model of dynamic processes from a time series data; (2) prediction: this step makes k steps ahead prediction based on the ARMA model of the process at a crisp time point. (3) Change-points detection: the step is what fits a piecewise segmented polynomial regressive model to the time series data to determine whether it contains a new change point. Finally, high performance of the proposed algorithm is demonstrated by comparing with Guralnik-Srivastava algorithm.
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Li, A., He, S., Qin, Z. (2003). Real-Time Segmenting Time Series Data. In: Zhou, X., Orlowska, M.E., Zhang, Y. (eds) Web Technologies and Applications. APWeb 2003. Lecture Notes in Computer Science, vol 2642. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-36901-5_19
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DOI: https://doi.org/10.1007/3-540-36901-5_19
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