Python HCTSA

[microprediction]

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.

[benfulcher]

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

[microprediction]

Oh nice, thanks. Looking at c22