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STUMPY appears to be a nonparametric approach to time series analysis. Are there examples where it outperformed linear, parametric models such as vector autoreg
by Bostonian 6y ago
STUMPY appears to be a nonparametric approach to time series analysis. Are there examples where it outperformed linear, parametric models such as vector autoregressions?
- seanlaw 6y agoSTUMPY faithfully reproduces the matrix profile work (https://www.cs.ucr.edu/~eamonn/MatrixProfile.html https://www.cs.ucr.edu/~eamonn/MatrixProfile.html) in a user friendly and scalable Python package. At the end of the day, there is no silver bullet but, now, you can quickly and easily compute matrix profiles (using distributed CPUs and multi-GPUs) and compare the results with your favorite time series analysis approach. That way, you can choose the right tool for the right data/right job.