The Similarity of Multivariate Time Series and Its Application

Firstly, from the external structure of the multivariate time series ( ) matrix, the article defines the similarity function based on the Range and the number of the different samples of the two matrixes difference; Afterward, considering the correlations between the column vectors of the matrix, the internal factors of the matrix, defines the similarity function based on the weighted square norm of the corresponding covariance matrix; and constructs the similarity function by weighted the two defined functions. Lastly, applying the similarity function of two s to the clustering the database, the algorithm is very effective.