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Lag by window in STUMPI #480

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@rnjv

Hi,

Was looking at STUMPI and found that the matrix profile as designed always lags by its window size. This is not ideal when dealing with realtime or streaming data.

How hard is it to implement this Online Matrix Profile version from this paper: https://www.researchgate.net/publication/354207865_Anomaly_Detection_on_IT_Operation_Series_via_Online_Matrix_Profile/comments

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  1. seanlaw commented on Oct 28, 2021

    @seanlaw
    Contributor

    Hi @rnjv and welcome to the STUMPY community. Can you provide a concrete example of what you mean? STUMPY follows Page 17 of this paper.

    I haven't gone through your paper in detail but it sounds like what you are asking is for the matrix profile to be shifted to the right by the window size. Maybe something like this:

    
    stream = stumpy.stumpi(np.random.rand(100), m, egress=True)
    shift_window = np.full(m, np.inf)
    
    for i in range(100):
        t = np.random.rand()
        stream.update(t)
        shifted_left_P = np.concatenate(shift_window, stream.left_P_)
        # Do something with shifted left matrix profile
    
  2. locked and limited conversation to collaborators on Oct 28, 2021
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