Efficient Retrieval of Similar Time Sequences Using DFT

Details Efficient Retrieval of Similar Time Sequences Using DFT Efficient Retrieval of Similar Time Sequences Using DFT

1998-09-18

arxiv.org/abs/cs/9809033v2

Proceedings of 5th Intl. Conf. on Foundations of Data Organizations and Algorithms (FODO '98), November 1998, Kobe, Japan

Computer Science

Databases

Scientific paper

We propose an improvement of the known DFT-based indexing technique for fast retrieval of similar time sequences. We use the last few Fourier coefficients in the distance computation without storing them in the index since every coefficient at the end is the complex conjugate of a coefficient at the beginning and as strong as its counterpart. We show analytically that this observation can accelerate the search time of the index by more than a factor of two. This result was confirmed by our experiments, which were carried out on real stock prices and synthetic data.

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