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An Energy-Based Similarity Measure for Time Series

Abstract

A new similarity measure, called SimilB, for time series analysis, based on the cross--energy operator (2004), is introduced. is a nonlinear measure which quantifies the interaction between two time series. Compared to Euclidean distance (ED) or the Pearson correlation coefficient (CC), SimilB includes the temporal information and relative changes of the time series using the first and second derivatives of the time series. SimilB is well suited for both nonstationary and stationary time series and particularly those presenting discontinuities. Some new properties of are presented. Particularly, we show that as similarity measure is robust to both scale and time shift. SimilB is illustrated with synthetic time series and an artificial dataset and compared to the CC and the ED measures.

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Correspondence to Abdel-Ouahab Boudraa.

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Open Access This article is distributed under the terms of the Creative Commons Attribution 2.0 International License (https://creativecommons.org/licenses/by/2.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Boudraa, AO., Cexus, JC., Groussat, M. et al. An Energy-Based Similarity Measure for Time Series. EURASIP J. Adv. Signal Process. 2008, 135892 (2007). https://doi.org/10.1155/2008/135892

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  • DOI: https://doi.org/10.1155/2008/135892

Keywords

  • Time Series
  • Information Technology
  • Similarity Measure
  • Quantum Information
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