A generalized matrix profile framework with support for contextual series analysis

The Matrix Profile is a state-of-the-art time series analysis technique that can be used for motif discovery, anomaly detection, segmentation and others, in various domains such as healthcare, robotics, and audio. Where recent techniques use the Matrix Profile as a preprocessing or modeling step, we believe there is unexplored potential in generalizing the approach. We derived a framework that focuses on the implicit distance matrix calculation. We present this framework as the Series Distance Matrix (SDM). In this framework, distance measures (SDM-generators) and distance processors (SDM-consumers) can be freely combined, allowing for more flexibility and easier experimentation. In SDM, the Matrix Profile is but one specific configuration. We also introduce the Contextual Matrix Profile (CMP) as a new SDM-consumer capable of discovering repeating patterns. The CMP provides intuitive visualizations for data analysis and can find anomalies that are not discords. We demonstrate this using two real world cases. The CMP is the first of a wide variety of new techniques for series analysis that fits within SDM and can complement the Matrix Profile.