Matching a target time series to other time series using dynamic time warping

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Knut Skaug
Knut Skaug 2023-2-16
评论： Knut Skaug 2023-2-16
Hello,
I have one data matrix A of size = n by m , where n is the number of observations and m is the number of variables, (f.ex. 1000 by 20)
I also have a target time series x of size n by 1 (f.ex 1000 by 1)
I would like to use dynamic time warping to find a cluster in A that has the smallest distance to x relative to other variables in A.
Essentially, find the variables in A that are most similar to the target variable x.
How can I do this?
Kind regards
Knut
  2 个评论
Eamonn
Eamonn 2023-2-16
Are you sure you need DTW?
If Eucldean distance would work, the MASS is unbelievably fast (and easy) (matlab code here [a])
If you do need to use DTW, you probably need to set the warping window width , see https://www.cs.unm.edu/~mueen/DTW.pdf
[a] https://www.cs.unm.edu/~mueen/FastestSimilaritySearch.html

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回答（1 个）

Star Strider
Star Strider 2023-2-16
See if the Signal Processing Toolbox dtw function (introduced in R2016a), or related functions linked to in that page, will do what you want. (I have used findsignal, however not dtw, so I have no specific experience with it.)

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