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matrix-profile-foundation / tsmp

R Functions implementing UCR Matrix Profile Algorithm
https://matrix-profile-foundation.github.io/tsmp
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Prediction with matrix profile #77

Closed MislavSag closed 4 years ago

MislavSag commented 4 years ago

Thanks for the great package!

Can you use a matrix profile for prediction? Is there a function (in the package) that helps to implement prediction based on motifs. For example, let's say I want to predict the values of the time series for the next 3 periods based on the 30-period window. I would search for similar (based on euclidian distance) 30-period window in the series and predict future n values. Is it possible to implement this approach with your package?

franzbischoff commented 4 years ago

Hello. Currently, there is no prediction model using matrix profile. The nearest approach is for state changes, using the SDTS algorithm