AutoLag: automatic discovery of lag correlations in stream data

Abstract

We have introduced the problem of automatic lag correlation detection on streaming data and proposed AutoLag to address this problem by using careful approximations and smoothing. Our experiments on real and realistic data show that AutoLag works as expected, estimating the unknown lags with excellent accuracy and significant speed-up. In our experiments on real and realistic data, AutoLag was up to about 42,000 times faster than the naive implementation, with at most 1% relative error.