Robust Time Series Chain Discovery with Incremental Nearest Neighbors

Li Zhang, Yan Zhu, Yifeng Gao, Jessica Lin

Abstract: Time series motif discovery has been a fundamental task to identify meaningful repeated patterns in time series. Recently, time series chains (TSCs) were introduced as an expansion of time series motifs to identify the continuous evolving patterns in time series data. TSCs are shown to be able to reveal latent continuous evolving trends in the time series, and identify precursors of unusual events in complex systems. However, existing TSC definitions lack the ability to accurately cover the evolving part of a time series: the discovered chains can be easily cut by noise and can include non-evolving patterns, making them impractical in real-world applications. In this work, we introduce a new TSC definition based on an incremental nearest neighbor concept which can better locate the evolving patterns while excluding the non-evolving ones, and propose two new quality metrics to rank the discovered chains. With extensive empirical evaluations, we demonstrate that the proposed TSC definition is significantly more robust to noise than the state of the art, and the top ranked chains discovered can reveal meaningful regularities in a variety of real world datasets.