Multivariate Time Series Search

Domain experts are often interested in searching for interesting multivariate patterns from these MTS databases which can contain up to several gigabytes of data. Surprisingly, research on MTS search is very limited.

Most existing work only supports queries with the same length of data, or queries on a fixed set of variables. In this paper, we propose an efficient and flexible subsequence search framework for massive MTS databases, that, for the first time, enables querying on any subset of variables with arbitrary time delays between them. We propose two provably correct algorithms to solve this problem — (1) an R-tree Based Search (RBS) which uses Minimum Bounding Rectangles (MBR) to organize the subsequences, and (2) a List Based Search (LBS) algorithm which uses sorted lists for indexing.