Solved – Clustering short time series

classificationclusteringtime series

I would like to classify a relatively large set (over 9000) of short times series. The length of each sequence varies, but I would say about 80 % has between 2 and 9 observations. While I could use a simple trendline (maybe combined with a variance measure) to describe each these sequences, I would like to go a step beyond this solution.

What other kinds of methods could I utilize to cluster the "visual appearance" of these sequences? The ultimate goal of the classification is to gain a understanding of what type of trend/style/behavior each sequence is exhibiting.

Best Answer

I can give you few hints:

  1. You could use dynamic time warping to extract similarity between your sequences. Please see : Can someone please explain dynamic time warping for determining time series similarity?
  2. Cave plot (visualization as you have stated) is another option. http://cm.bell-labs.com/cm/ms/departments/sia/project/misc/caveplot.html
  3. If you use R, http://www.rdatamining.com/examples/ts-mining may give you some hint
  4. You may want to see a discussion on similar topic at Time series 'clustering' in R