Abstract
Time-series data analysis is essential in many modern applications, such as financial markets, sensor networks, and data centers, and correlation discovery is a core technique for the analysis. In this paper, we address a novel problem that computes a k-sized time-series dataset where the minimum Pearson correlation of any two time-series in the set is maximized. This problem discovers a group of time-series, which are highly correlated with each other, from a given time-series dataset without any prior knowledge, thus helps many analytical applications. We show that this problem is NP-hard, and design an approximate heuristic solution that provides a high quality result with fast response time. Extensive experiments on real and synthetic datasets verify the efficiency, effectiveness, and scalability of our solution.
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Acknowledgment
This research is partially supported by JSPS Grant-in-Aid for Scientific Research (A) Grant Number 18H04095, JSPS Grant-in-Aid for Young Scientists (B) Grant Number JP16K16056, and JST CREST Grant Number J181401085.
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Amagata, D., Hara, T. (2019). Correlation Set Discovery on Time-Series Data. In: Hartmann, S., Küng, J., Chakravarthy, S., Anderst-Kotsis, G., Tjoa, A., Khalil, I. (eds) Database and Expert Systems Applications. DEXA 2019. Lecture Notes in Computer Science(), vol 11707. Springer, Cham. https://doi.org/10.1007/978-3-030-27618-8_21
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DOI: https://doi.org/10.1007/978-3-030-27618-8_21
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