Multivariate Time Series Similarity Searching

Multivariate time series (MTS) datasets are very common in various financial, multimedia, and hydrological fields. In this paper, a dimension-combination method is proposed to search similar sequences for MTS. Firstly, the similarity of single-dimension series is calculated; then the overall similarity of the MTS is obtained by synthesizing each of the single-dimension similarity based on weighted BORDA voting method. The dimension-combination method could use the existing similarity searching method. Several experiments, which used the classification accuracy as a measure, were performed on six datasets from the UCI KDD Archive to validate the method. The results show the advantage of the approach compared to the traditional similarity measures, such as Euclidean distance (ED), cynamic time warping (DTW), point distribution (PD), PCA similarity factor SPCA, and extended Frobenius norm (Eros), for MTS datasets in some ways. Our experiments also demonstrate that no measure can fit all datasets, and the proposed measure is a choice for similarity searches

Performance monitoring of MPC based on dynamic principal component analysis

A unified framework based on the dynamic principal component analysis (PCA) is proposed for performance monitoring of constrained multi-variable model predictive control (MPC) systems. In the proposed performance monitoring framework, the dynamic PCA based performance benchmark is adopted for performance assessment, while performance diagnosis is carried out using a unified weighted dynamic PCA similarity measure. Simulation results obtained from the case study of the Shell process demonstrate that the use of the dynamic PCA performance benchmark can detect the performance deterioration more quickly compared with the traditional PCA method, and the proposed unified weighted dynamic PCA similarity measure can correctly locate the root cause for poor performance of MPC controller

Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange

Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT.Peer ReviewedPostprint (published version