Jiffy: A Convolutional Approach to Learning Time Series Similarity

Divya Shanmugam, Davis Blalock, John Guttag

Abstract: Computing distances between examples is at the core of many learning algorithms for time series. Consequently, a great deal of work has gone into designing effective time series distance measures. We present Jiffy, a simple and scalable distance metric for multivariate time series. Our approach is to reframe the task as a representation learning problem---rather than design an elaborate distance function, we use a CNN to learn an embedding such that the Euclidean distance is effective. By aggressively max-pooling and downsampling, we are able to construct this embedding using a highly compact neural network. Experiments on a diverse set of multivariate time series datasets show that our approach consistently outperforms existing methods.

TL;DR: Jiffy is a convolutional approach to learning a distance metric for multivariate time series that outperforms existing methods in terms of nearest-neighbor classification accuracy.

Keywords: Time Series, Time Series Classification