Univariate STOMP algorithm

Source: R/stomp.R

Computes the Matrix Profile and Profile Index for Univariate Time Series.

stomp(
  data,
  window_size,
  query = NULL,
  exclusion_zone = 0.5,
  n_workers = 1,
  progress = TRUE
)

Arguments

data

Required. Any 1-dimension series of numbers (matrix, vector, ts etc.) (See details).
window_size

Required. An integer defining the rolling window size.
query

Optional. Another 1-dimension series of numbers for an AB-join similarity. Default is NULL (See details).
exclusion_zone

A numeric. Defines the size of the area around the rolling window that will be ignored to avoid trivial matches. Default is 0.5, i.e., half of the window_size.
n_workers

An integer. The number of threads using for computing. Defaults to 1.
progress

A logical. If TRUE (the default) will show a progress bar. Useful for long computations. (See details)

Details

The Matrix Profile, has the potential to revolutionize time series data mining because of its generality, versatility, simplicity and scalability. In particular it has implications for time series motif discovery, time series joins, shapelet discovery (classification), density estimation, semantic segmentation, visualization, rule discovery, clustering etc. verbose changes how much information is printed by this function; 0 means nothing, 1 means text, 2 adds the progress bar, 3 adds the finish sound. exclusion_zone is used to avoid trivial matches; if a query data is provided (join similarity), this parameter is ignored.

Functions

  • stomp: Single thread version.

References

  • Zhu Y, Zimmerman Z, Senobari NS, Yeh CM, Funning G. Matrix Profile II : Exploiting a Novel Algorithm and GPUs to Break the One Hundred Million Barrier for Time Series Motifs and Joins. Icdm. 2016 Jan 22;54(1):739-48.

Website: http://www.cs.ucr.edu/~eamonn/MatrixProfile.html

See also

Other matrix profile computations: mpx(), scrimp(), stamp()

Examples

# \donttest{
mp <- stomp(runif(200), window_size = 30)

#> <simpleError in stomp_rcpp(data, data, window_size, ez, as.logical(progress)): object '_matrixprofiler_stomp_rcpp' not found>
# }