Matrix Profile XXVI: Mplots

Abstract

Time series similarity matrices (informally, recurrence plots), are useful tools for time series data mining. They can be used to guide data exploration, and various useful features can be derived from them and then fed into downstream analytics. However, time series similarity matrices suffer from very poor scalability, taxing both time and memory requirements. In this work, we introduce novel ideas that allow us to scale the largest time series similarity matrices that can be examined by several orders of magnitude. The first idea is a novel algorithm to compute the matrices in a way that removes dependency on the subsequence length. This algorithm is so fast that it allows us to now address datasets where the memory limitations begin to dominate. Our second novel contribution is a multiscale algorithm that computes an approximation of the matrix appropriate for the limitations of the user’s memory/screen-resolution, then performs a local, just-in-time recomputation of any region that the user wishes to zoom-in on. Given that we can largely remove time and space barriers, human visual attention then becomes the bottleneck. We further introduce algorithms that search massive matrices with quadrillions of cells and then prioritize regions for later attention by either humans or algorithms. We will demonstrate the utility of our ideas for data exploration, segmentation, and classification in diverse domains.

• The codes and datasets are available to reproduce the results.