Discovery of Temporal Associations in Multivariate Time Series.

Multivariate time series are common in many application domains, particularly in industrial processes with a large number of sensors installed for process monitoring and control. Often, such data encapsulate complex relations among individual series. This paper presents a new type of patterns in multivariate time series, referred to as temporal associations, to capture a wide range of local relations along and across individual series. A scalable algorithm is developed to discover frequent associations by incorporating (1) redundancy pruning of patterns in single time series and (2) two conditions to avoid over-counting the occurrences of associations, thus greatly reducing the space and runtime complexity of the discovery process. A statistical significance measure is also introduced for ranking and post-pruning discovered associations. To evaluate the proposed method, synthetic data sets and a real world data set taken from the time series mining repository as well as a large data set obtained from a delayed coking plant are used. The experiments demonstrated that the discovered associations capture the local relations in multiple time series and that the proposed method is scalable to large data sets.