Similarity Beyond Correlation: Symmetry-Based Approach

Authors

Ildar Batyrshin, Instituto Politénico NacionalFollow
Thongchai Dumrongpokaphan, Chiang Mai UniversityFollow
Vladik Kreinovich, The University of Texas at El PasoFollow
Olga Kosheleva, The University of Texas at El PasoFollow

Publication Date

6-2016

Comments

Technical Report: UTEP-CS-16-32

Abstract

When practitioners analyze the similarity between time series, they often use correlation to gauge this similarity. Sometimes this works, but sometimes, this leads to counter-intuitive results. In this paper, we use natural symmetries -- scaling and shift -- to explain this discrepancy between correlation and common sense, and then use the same symmetries to come up with more adequate measures of similarity.