Time Series To Features¶

Converts time-series of length N into a target signal ‘f0’ and M features signals ‘f1 .. fM’ of length (N-M)

Documentation¶

Converts time-series of length N into a target signal ‘f0’ and M features signals ‘f1 .. fM’ of length (N-M) as follows:

f0 = x_{M+1} .. x_{n}

f1 = x_1, … x_{n-m}

f2 = x_2, … x_{n-m+1}

…

fM = x_M, … x_{n-1}

The features ‘f1 .. fM’ thus capture the last M values of the signal f0.

input table
Input signals

x table
Features

y table
Target signal

History length (M)
Number of points of history (M) captured at each time point