HOT SAX : Finding the Most Unusual Time series Subsequence : Algorithms and Applications
Eamonn Keogh · 2004
In this work, we introduce the new problem of finding time series discords. Time series discords are subsequences of a longer time series that are maximally different to all the rest of the time series subsequences. They thus capture the sense of the most unusual subsequence within a time series. Time series discords have many uses for data mining, including improving the quality of clustering, data cleaning, summarization, and anomaly detection. As we will show, discords are particularly attractive as anomaly detectors because they only require one intuitive parameter (the length of the subsequence) unlike most anomaly detection algorithms that typically require many parameters. While the brute force algorithm to discover time series discords is quadratic in the length of the time series, we show a simple algorithm that is 3 to 4 orders of magnitude faster than brute force, while guaranteed to produce identical results. We evaluate our work with a comprehensive set of experiments. In particular, we demonstrate the utility of discords with objective experiments on domains as diverse as Space Shuttle telemetry monitoring, medicine, surveillance, and industry, and we demonstrate the effectiveness of our discord discovery algorithm with more than one million experiments, on 82 different datasets from diverse domains.