A Recurrence Plot-based Distance Measure

AuthorStephan Spiegel, Brijnesh Johannes Jain, Sahin Albayrak
SourceSpringer Proceedings in Mathematics & Statistics (Volume 103 2014) - Translational Recurrences: From Mathematical Theory to Real-World Applications 
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Given a set of time series, our goal is to identify prototypes that cover the maximum possible amount of occurring subsequences regardless of their order. This scenario appears in the context of the automotive industry, where the goal is to determine operational profiles that comprise frequently recurring driving behaviour patterns. This problem can be solved by clustering, however, standard distance measures such as the dynamic time warping distance might not be suitable for this task, because they aim at capturing the cost of aligning two time series rather than rewarding pairwise recurring patterns. In this contribution, we propose a novel time series distance measure, based on the notion of recurrence plots, which enables us to determine the (dis)similarity of multivariate time series that contain segments of similar trajectories at arbitrary positions. We use recurrence quantification analysis to measure the structures observed in recurrence plots and to investigate dynamical properties, such as determinism, which reflect the pairwise (dis)similarity of time series. In experiments on real-life test drives from Volkswagen, we demonstrate that clustering multivariate time series using the proposed recurrence plot-based distance measure results in prototypical test drives that cover significantly more recurring patterns than using the same clustering algorithm with dynamic time warping distance.