A Review and Evaluation of Elastic Distance Functions for Time Series Clustering

TL;DR

This paper reviews and evaluates elastic distance functions for time series clustering, revealing that MSM with k-medoids outperforms popular methods like DTW with k-means, and provides practical implementations and benchmarks.

Contribution

It systematically compares nine elastic distance measures for time series clustering and recommends MSM with k-medoids as the best approach, challenging common assumptions about DTW.

Findings

MSM with k-medoids outperforms DTW with k-means.

DTW performs worse than Euclidean distance with k-means.

Distance measures with editing and warping perform better.

Abstract

Time series clustering is the act of grouping time series data without recourse to a label. Algorithms that cluster time series can be classified into two groups: those that employ a time series specific distance measure; and those that derive features from time series. Both approaches usually rely on traditional clustering algorithms such as $k$-means. Our focus is on distance based time series that employ elastic distance measures, i.e. distances that perform some kind of realignment whilst measuring distance. We describe nine commonly used elastic distance measures and compare their performance with k-means and k-medoids clustering. Our findings are surprising. The most popular technique, dynamic time warping (DTW), performs worse than Euclidean distance with k-means, and even when tuned, is no better. Using k-medoids rather than k-means improved the clusterings for all nine distance measures. DTW is not significantly better than Euclidean distance with k-medoids. Generally, distance measures that employ editing in conjunction with warping perform better, and one distance measure, the move-split-merge (MSM) method, is the best performing measure of this study. We also compare to clustering with DTW using barycentre averaging (DBA). We find that DBA does improve DTW k-means, but that the standard DBA is still worse than using MSM. Our conclusion is to recommend MSM with k-medoids as the benchmark algorithm for clustering time series with elastic distance measures. We provide implementations in the aeon toolkit, results and guidance on reproducing results on the associated GitHub repository.