Generalised Interpretable Shapelets for Irregular Time Series

28 May 2020Patrick KidgerJames MorrillTerry Lyons

The shapelet transform is a form of feature extraction for time series, in which a time series is described by its similarity to each of a collection of `shapelets'. However it has previously suffered from a number of limitations, such as being limited to regularly-spaced fully-observed time series, and having to choose between efficient training and interpretability... (read more)

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