TSdist (version 1.2)

TSdist-package: Distance Measures for Time Series in R.

Description

A complete set of distance measures specifically designed to deal with time series.

Details

ll{ Package: TSdist Type: Package Version: 1.0 Date: 2014-05-10 License: GPL (>=2) } This package provides a comprehensive set of distance measures published in the literature and specifically aimed at time series data. The distance measures implemented are:

• Lp distances.
• Distances based on Pearson's correlation.
• Distance based on the cross-correlation.
• Short Time Series distance (STS).
• Dynamic Time Warping (DTW).
• Edit Distance for Real Sequences (EDR).
• Longest Common Subsequence distance for real sequences(LCSS).
• Edit Distance based on Real Penalty (ERP).
• Fourier Coefficient based distance.
• TQuest distance.
• Dissim distance.
• Approximation of the Dissim distance.

All the distance measures are implemented in separate functions but can also be invoked by means of the wrapper function tsDistances. Moreover, this distance enables the use of time series objects of type ts, zoo and xts.

As an additional functionality of the package, pairwise distances between all the time series in a database can be easily computed by using the dist function from the proxy package or the tsDatabaseDistances function included in the TSdist package.

References

Esling, P., & Agon, C. (2012). Time-series data mining. ACM Computing Surveys, 45(1), 1-34.

Liao, T. W. (2005). Clustering of time series data-a survey. Pattern Recognition, 38(11), 1857-1874.

Wang, X., Mueen, A., Ding, H., Trajcevski, G., Scheuermann, P., & Keogh, E. (2012). Experimental comparison of representation methods and distance measures for time series data. Data Mining and Knowledge Discovery, 26(2), 275-309.

David Meyer and Christian Buchta (2013). proxy: Distance and Similarity Measures. R package version 0.4-10. http://CRAN.R-project.org/package=proxy

Examples

library(TSdist);