An empirical evaluation of similarity measures for time series classification

Abstract

Time series are ubiquitous, and a measure to assess their similarity is a core part of many computational systems. In particular, the similarity measure is the most essential ingredient of time series clustering and classification systems. Because of this importance, countless approaches to estimate time series similarity have been proposed. However, there is a lack of comparative studies using empirical, rigorous, quantitative, and large-scale assessment strategies. In this article, we provide an extensive evaluation of similarity measures for time series classification following the aforementioned principles. We consider 7 different measures coming from alternative measure 'families', and 45 publicly-available time series data sets coming from a wide variety of scientific domains. We focus on out-of-sample classification accuracy, but in-sample accuracies and parameter choices are also discussed. Our work is based on rigorous evaluation methodologies and includes the use of powerful statistical significance tests to derive meaningful conclusions. The obtained results show the equivalence, in terms of accuracy, of a number of measures, but with one single candidate outperforming the rest. Such findings, together with the followed methodology, invite researchers on the field to adopt a more consistent evaluation criteria and a more informed decision regarding the baseline measures to which new developments should be compared. © 2014 Elsevier B.V. All rights reserved. ; We thank the people who made available or contributed to the UCR time series repository. This research has been funded by 2009-SGR-1434 from Generalitat de Catalunya, JAEDOC069/2010 from Consejo Superior de Investigaciones Científicas, and TIN2009-13692-C03-01 and TIN2012-38450-C03-03 from the Spanish Government, and EU Feder funds. Funding Details ; Peer Reviewed