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matrix-profile-foundation / matrixprofile

A Python 3 library making time series data mining tasks, utilizing matrix profile algorithms, accessible to everyone.
https://matrixprofile.org
Apache License 2.0
362 stars 62 forks source link

Rework difference equations to omit leading zero. This change avoids … #63

Closed kavj closed 3 years ago

kavj commented 3 years ago

…some error prone behavior in streaming and certain tiling patterns, as the leading zero is only correct if mpx is run starting from index 0 rather than some other point in the time series.

The tolerance switch to e-8 is also present. I found in rare cases, e-10 was too tight here. Typically absolute tolerance would be low, but relative tolerance would be just over the threshold on 1-2 elements out of roughly 16000. FMA might make a difference, but we aren't using it here.

tylerwmarrs commented 3 years ago

LGTM. Yeah - I ran into this issue a decent amount too.