FilCorr: Filtered and Lagged Correlation on Streaming Time Series

An essential task on streaming time series data is to compute pairwise correlation across disparate signal sources to identify significant events. In many monitoring applications, such as geospatial monitoring, motion monitoring and critical infrastructure monitoring, correlation is observed at various frequency bands and temporal lags. In this paper, we consider computing filtered and lagged correlation on streaming time series data, which is challenging because the computation must be “in-sync” with the incoming stream for any detected events to be useful. We propose a technique to compute filtered and lagged correlation on streaming data efficiently by merging two individual operations: filtering and cross-correlations. We achieve an order of magnitude speed-up by maintaining frequency transforms over sliding windows. Our method is exact, devoid of sensitive parameters, and easily parallelizable. We demonstrate our technique in a seismic signal monitoring application.