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High Performance Discovery in Time Series: Techniques and Case Studies

High Performance Discovery in Time Series: Techniques and Case Studies,Yunyue Zhu,Dennis Shasha

High Performance Discovery in Time Series: Techniques and Case Studies   (Citations: 15)
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This paper proposes e#cient methodsfor solving this problem based on Discrete Fourier Transforms and a three level timeinterval hierarchy. Extensive experiments on synthetic data and real world financialtrading data show that our algorithm beats the direct computation approach by severalorders of magnitude. It also improves on previous Fourier Transform approachesby allowing the e#cient computation of time-delayed correlation over any size slidingwindow and any time delay. Correlation...
Published in 2004.
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