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functime-org / functime

Time-series machine learning at scale. Built with Polars for embarrassingly parallel feature extraction and forecasts on panel data.
https://docs.functime.ai
Apache License 2.0
1.02k stars 55 forks source link

Feat/cusum filter #127

Closed ngriffiths13 closed 10 months ago

ngriffiths13 commented 10 months ago

Mostly my changes, but added a few linting changes that ruff wasn't happy about.

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abstractqqq commented 10 months ago

The name cusum is too prone to be confused with cumsum. Maybe cumul_sum is better?

ngriffiths13 commented 10 months ago

The name cusum is too prone to be confused with cumsum. Maybe cumul_sum is better?

The paper written calls it the cusum algorithm... Which I agree is unfortunate. What about cusum_changepoint?

abstractqqq commented 10 months ago

The name cusum is too prone to be confused with cumsum. Maybe cumul_sum is better?

The paper written calls it the cusum algorithm... Which I agree is unfortunate. What about cusum_changepoint?

I don't have a very strong opinion on this but the recent trend of Polars renaming groupby to group_by, cumsum to cum_sum make me think that maybe cul_sum is a good choice... I would leave the decision to you though

topher-lo commented 10 months ago

Merged it in. Can decide to change naming in another PR before next release