benfulcher
Python HCTSA
I'm listening to your podcast on Data Skeptic and wondering how far along you are on the Python front. Somebody from the microprediction slack recommended HCTSA.
I've put a bit of work into trying to include a bunch of different TS models in a common signature. Maybe this is something that can benefit HCTSA or vice-versa. I've barely scratched the surface on feature gen.
I work for a hedge fund run by an Aussie in Princeton. We have a keen interest in drawing together whatever we can find that is out there. Anyway feel free to ping me or stop by our slack sometime (invite -feel free to ask there if someone might want to contribute to HCTSA).
I'll poke around your matlab code in the meantime and see if I can still remember my first language.
Hi Peter, You might find some useful resources here: https://github.com/benfulcher/hctsa/wiki/Related-time-series-resources In python, we've ported a subset of our features: https://github.com/chlubba/catch22 While hctsa is non-commercial, we have open source work in time-series features happening in R. (to emerge within a month or so, in the meantime, cf. http://arxiv.org/abs/2110.10914) Best, Ben
