Indexing of compressed time series

Eugene Fink and Kevin B. Pratt

In Mark Last, Abraham Kandel, and Horst Bunke, editors, Data Mining in Time Series Databases, pages 43-65. World Scientific, Singapore, 2004.


We describe a procedure for identifying major minima and maxima of a time series, and present two applications of this procedure. The first application is fast compression of a series, by selecting major extrema and discarding the other points. The compression algorithm runs in linear time and takes constant memory. The second application is indexing of compressed series by their major extrema, and retrieval of series similar to a given pattern. The retrieval procedure searches for the series whose compressed representation is similar to the compressed pattern. It allows the user to control the trade-off between the speed and accuracy of retrieval. We show the effectiveness of the compression and retrieval for stock charts, meteorological data, and electroencephalograms.