Computes the Matrix Profile or Pan-Matrix Profile

Main API Function

compute(
  ts,
  windows = NULL,
  query = NULL,
  sample_pct = 1,
  threshold = 0.98,
  n_jobs = 1L
)

Arguments

ts	a `matrix` or a `vector`. The time series to analyze.
windows	an `int` or a `vector`. The window(s) to compute the Matrix Profile. Note that it may be an `int` for a single matrix profile computation or a `vector` of `int` for computing the Pan-Matrix Profile.
query	a `matrix` or a `vector`. Optional The query to analyze. Note that when computing the Pan-Matrix Profile the query is ignored!
sample_pct	a `numeric`. A number between 0 and 1 representing how many samples to compute for the Matrix Profile or Pan-Matrix Profile. When it is 1, the exact algorithm is used. (default is `1.0`).
threshold	a `numeric`. Correlation threshold. See details. (Default is `0.98`).
n_jobs	an `int`. The number of cpu cores to use when computing the MatrixProfile. (default is `1`).

Value

The profile computed.

Details

Computes the exact or approximate Matrix Profile based on the sample percent specified. Currently, MPX and SCRIMP++ are used for the exact and approximate algorithms respectively. See details for more information about the arguments combinations.

When a single windows is given, the Matrix Profile is computed. If a query is provided, AB join is computed. Otherwise the self-join is computed. When multiple windows or none are given, the Pan-Matrix Profile is computed. If a threshold is set (it is, by default), the upper bound will be computed and the given windows or a default range (when no windows), below the upper bound will be computed.

References

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

Examples


# Matrix Profile
result <- compute(mp_toy_data$data[, 1], 80)
if (FALSE) {
# Pan-Matrix Profile
result <- compute(mp_toy_data$data[, 1])
}