Contextual time series change detection

Xi C. Chen, Karsten Steinhaeuser, Shyam Boriah, Snigdhansu Chatterjeey, Vipin Kumar

Research output: Chapter in Book/Report/Conference proceedingConference contribution

17 Scopus citations


Time series data are common in a variety of fields ranging from economics to medicine and manufacturing. As a result, time series analysis and modeling has become an active research area in statistics and data mining. In this paper, we focus on a type of change we call contextual time series change (CTC) and propose a novel two-stage algorithm to address it. In contrast to traditional change detection methods, which consider each time series separately, CTC is defined as a change relative to the behavior of a group of related time series. As a result, our proposed method is able to identify novel types of changes not found by other algorithms. We demonstrate the unique capabilities of our approach with several case studies on real-world datasets from the financial and Earth science domains.

Original languageEnglish (US)
Title of host publicationProceedings of the 2013 SIAM International Conference on Data Mining, SDM 2013
EditorsJoydeep Ghosh, Zoran Obradovic, Jennifer Dy, Zhi-Hua Zhou, Chandrika Kamath, Srinivasan Parthasarathy
PublisherSiam Society
Number of pages9
ISBN (Electronic)9781611972627
StatePublished - 2013
EventSIAM International Conference on Data Mining, SDM 2013 - Austin, United States
Duration: May 2 2013May 4 2013

Publication series

NameProceedings of the 2013 SIAM International Conference on Data Mining, SDM 2013


OtherSIAM International Conference on Data Mining, SDM 2013
Country/TerritoryUnited States

Bibliographical note

Publisher Copyright:
Copyright © SIAM.


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