CRAN

DTWUMI 1.0

Imputation of Multivariate Time Series Based on Dynamic Time Warping

Released Jul 13, 2018 by POISSON-CAILLAULT Emilie

This package is available for Renjin and there are no known compatibility issues.

Dependencies

entropy 1.2.1 dtw 1.20-1 e1071 1.7-0 rlist 0.4.6.1 lsa 0.73.1 DTWBI 1.1

Functions to impute large gaps within multivariate time series based on Dynamic Time Warping methods. Gaps of size 1 or inferior to a defined threshold are filled using simple average and weighted moving average respectively. Larger gaps are filled using the methodology provided by Phan et al. (2017) : a query is built immediately before/after a gap and a moving window is used to find the most similar sequence to this query using Dynamic Time Warping. To lower the calculation time, similar sequences are pre-selected using global features. Contrary to the univariate method (package 'DTWBI'), these global features are not estimated over the sequence containing the gap(s), but a feature matrix is built to summarize general features of the whole multivariate signal. Once the most similar sequence to the query has been identified, the adjacent sequence to this window is used to fill the gap considered. This function can deal with multiple gaps over all the sequences componing the input multivariate signal. However, for better consistency, large gaps at the same location over all sequences should be avoided.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>DTWUMI</artifactId>
    <version>1.0-b1</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:DTWUMI')

Test Results

This package was last tested against Renjin 0.9.2657 on Aug 18, 2018.

Source

R

View GitHub Mirror

Release History