Method and apparatus for analyzing co-evolving time sequences

摘要

An analyzer system that analyzes a plurality of co-evolving time sequences to, for example, perform correlation or outlier detection on the time sequences. The plurality of co-evolving time sequences comprise a delayed time sequence and one or more known time sequences. A goal is to predict the delayed value given the available information. The plurality of time sequences have a present value and (N-1) past values, where N is the number of samples (time-ticks) of each time sequence. The analyzer system receives the plurality of co-evolving time sequences and determines a window size ("w"). The analyzer then assigns the delayed time sequence as a dependent variable and the present value of a subset of the known time sequences, and the past values of the subset of known time sequences and the delayed time sequence, as a plurality of independent variables. Past values delayed by up to "w" steps are considered. The analyzer then forms an equation comprising the dependent variable and the independent variables, and then solves the equation using a least squares method. The delayed time sequence is then determined using the solved equation.