Creating a level playing field for all symbols in a discretization

TL;DR

This paper investigates how the Piecewise Aggregate Approximation step in the SAX discretization method alters data distribution, affecting the validity of equal-probability partitions based on the standard normal curve.

Contribution

It reveals that PAA changes data distribution, especially with auto-correlated data, challenging the assumption of using standard normal partitions in SAX.

Findings

PAA causes a shrinking standard deviation in data.

Auto-correlated data is less affected by distribution changes.

Standard normal-based partitions may no longer be valid after PAA.

Abstract

In time series analysis research there is a strong interest in discrete representations of real valued data streams. One approach that emerged over a decade ago and is still considered state-of-the-art is the Symbolic Aggregate Approximation algorithm. This discretization algorithm was the first symbolic approach that mapped a real-valued time series to a symbolic representation that was guaranteed to lower-bound Euclidean distance. The interest of this paper concerns the SAX assumption of data being highly Gaussian and the use of the standard normal curve to choose partitions to discretize the data. Though not necessarily, but generally, and certainly in its canonical form, the SAX approach chooses partitions on the standard normal curve that would produce an equal probability for each symbol in a finite alphabet to occur. This procedure is generally valid as a time series is normalized before the rest of the SAX algorithm is applied. However there exists a caveat to this assumption of equi-probability due to the intermediate step of Piecewise Aggregate Approximation (PAA). What we will show in this paper is that when PAA is applied the distribution of the data is indeed altered, resulting in a shrinking standard deviation that is proportional to the number of points used to create a segment of the PAA representation and the degree of auto-correlation within the series. Data that exhibits statistically significant auto-correlation is less affected by this shrinking distribution. As the standard deviation of the data contracts, the mean remains the same, however the distribution is no longer standard normal and therefore the partitions based on the standard normal curve are no longer valid for the assumption of equal probability.