Peak Detection in Time Series

Question

I\'m currently working on a little project in which I want to compare two time-series. The similarity measure is really vague, they are considered to be similar if the two time

Answer 1

I'm not sure about correlation between time series or specific peak detection algorithms but here's a little maximum peak detection algorithm I wrote. It doesn't detect the minimum peaks but could easily be extended to do so by reversing the operations in the for loop.

List maxPoints = ... //list to store the maximums
XYDataItem leftPeakPoint = new XYDataItem(0, 0);
int leftPeakPointIndex = 0;
XYDataItem rightPeakPoint = new XYDataItem(0, 0);
boolean first = true;
int index = -1;
List pointList = (List) lrpSeries.getItems();
for (XYDataItem point : pointList) {
    index++;
    if (first) {
        //initialize the first point
        leftPeakPoint = point;
        leftPeakPointIndex = index;
        first = false;
        continue;
    }
    if (leftPeakPoint.getYValue() < point.getYValue()) {
        leftPeakPoint = point;
        leftPeakPointIndex = index;
        rightPeakPoint = point;
    } else if (leftPeakPoint.getYValue() == point.getYValue()) {
        rightPeakPoint = point;
    } else {
        //determine if we are coming down off of a peak by looking at the Y value of the point before the
        //left most point that was detected as a part of a peak
        if (leftPeakPointIndex > 0) {
            XYDataItem prev = pointList.get(leftPeakPointIndex - 1);
            //if two points back has a Y value that is less than or equal to the left peak point
            //then we have found the end of the peak and we can process as such
            if (prev.getYValue() <= leftPeakPoint.getYValue()) {
                double peakx = rightPeakPoint.getXValue() - ((rightPeakPoint.getXValue() - leftPeakPoint.getXValue()) / 2D);
                maxPoints.add(new XYDataItem(peakx, leftPeakPoint.getYValue()));
            }
        }
        leftPeakPoint = point;
        leftPeakPointIndex = index;
        rightPeakPoint = point;
    }
}

The result of this will center the detected peak on flat sections where the Y value of consecutive data points is the same. XYDataItem is just a class that contains an X and Y value as a double. This can easily be replaced with something equivalent.