Beyond the Dimensions: A Structured Evaluation of Multivariate Time Series Distance Measures

Jens E. d'Hondt, Odysseas Papapetrou, John Paparrizos

Abstract: A variety of distance measures for multivariate time series has been proposed in recent literature. However, evaluations of such measures have been incomplete; comparisons are limited to subsets of similar measures, lacking a holistic view of the field with an appropriate taxonomy of measures. This paper presents a structured evaluation of multivariate time series distance measures. Through a novel taxonomy, measures are categorized based on how they handle the multiple variates; in an atomic or a holistic manner. Experimental evaluation of 12 measures shows that no single measure or approach is superior; the optimal choice depends on the data and the task at hand.