Lag by window in STUMPI

[rnjv]

Hi,

Was looking at STUMPI and found that the matrix profile as designed always lags by its window size. This is not ideal when dealing with realtime or streaming data.

How hard is it to implement this Online Matrix Profile version from this paper: https://www.researchgate.net/publication/354207865_Anomaly_Detection_on_IT_Operation_Series_via_Online_Matrix_Profile/comments

[seanlaw]

Hi @rnjv and welcome to the STUMPY community. Can you provide a concrete example of what you mean? STUMPY follows Page 17 of this paper.

I haven't gone through your paper in detail but it sounds like what you are asking is for the matrix profile to be shifted to the right by the window size. Maybe something like this:

stream = stumpy.stumpi(np.random.rand(100), m, egress=True)
shift_window = np.full(m, np.inf)

for i in range(100):
    t = np.random.rand()
    stream.update(t)
    shifted_left_P = np.concatenate(shift_window, stream.left_P_)
    # Do something with shifted left matrix profile