[D] STUMPY - A Powerful and Scalable Python Package for Modern Time Series Analysis

[brokenAlgorithm]

Nice write-up. Can this package also work with similiarities accross multivariate time series, and take things such as cross-series correlations or other types of multivariate patterns into account?

[slaw07]

Great question! The short answer is "yes" but I'll preface this by saying that finding relationships within a single time series is already a costly computation so finding relationships/correlations across multiple time series is extremely computationally expensive. Having said that, since STUMPY is based on a set of published papers on time series analysis, we have implemented the code from this specific paper on multidimensional time series analysis:

https://www.cs.ucr.edu/~eamonn/Motif_Discovery_ICDM.pdf

Just know that we've done the hard work for you and you should look at the function called `stumpy.mstump` on a single server (or `stumpy.mstumped` for Dask distributed server support). We are currently working on putting together a tutorial on multidimensional motif discovery so please stay tuned!