Measuring the similarity between trajectories using clustering techniques

A clustering method has been developed to group signals that display similar dynamic behavior. The procedure involves using the method of time delay embedding to construct a trajectory in state space from a time series. Certain features that characterize the geometry of the trajectory have been defined. These features were subjected to a series of statistical tests to determine their usefulness in a hierarchical clustering analysis. The latter is aimed at finding groups of similar trajectories. The trajectory‐based clustering algorithm has been applied to simulated data, which included both stochastic data generated by a linear AR model, and nonlinear data generated by a Duffing oscillator. The results show that the algorithm works reliably in both cases.