Robust Multi-Variate Temporal Features of Multi-Variate Time Series

Sicong Liu, Silvestro Roberto Poccia, K. Selçuk Candan, Maria Luisa Sapino, Xiaolan Wang

Abstract: Many applications generate and/or consume multi-variate temporal data, and experts often lack the means to adequately and systematically search for and interpret multi-variate observations. In this article, we first observe that multi-variate time series often carry localized multi-variate temporal features that are robust against noise. We then argue that these multi-variate temporal features can be extracted by simultaneously considering, at multiple scales, temporal characteristics of the time series along with external knowledge, including variate relationships that are known a priori. Relying on these observations, we develop data models and algorithms to detect robust multi-variate temporal (RMT) features that can be indexed for efficient and accurate retrieval and can be used for supporting data exploration and analysis tasks. Experiments confirm that the proposed RMT algorithm is highly effective and efficient in identifying robust multi-scale temporal features of multi-variate time series.