Exact Statistical Inference for Time Series Similarity using Dynamic Time Warping by Selective Inference
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In this paper, we study statistical inference on the similarity/distance between two time-series under uncertain environment by considering a statistical hypothesis test on the distance obtained from Dynamic Time Warping (DTW) algorithm. The sampling distribution of the DTW distance is too complicated to derive because it is obtained based on the solution of a complicated algorithm. To circumvent this difficulty, we propose to employ a conditional sampling distribution for the inference, which enables us to derive an exact (non-asymptotic) inference method on the DTW distance. Besides, we also develop a novel computational method to compute the conditional sampling distribution. To our knowledge, this is the first method that can provide valid p-value to quantify the statistical significance of the DTW distance, which is helpful for high-stake decision making. We evaluate the performance of the proposed inference method on both synthetic and real-world datasets.
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