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johannfaouzi / pyts

A Python package for time series classification

Home Page:https://pyts.readthedocs.io

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Gramian Angular Field on 2 x 20 timeseries

cmazzoni87 opened this issue · comments

commented

Description

Is it possible to encode 2 x 20 timeseries into a GAF? Trying to encode the Open and Volume fields of the S&P index. Thank you for your effort.

commented

Hi,

In the paper introducing GAF, they apply this algorithm to univariate time series only, and the implementation in this package works on univariate time series only. However, you could create a GAF for each feature (open and volume fields), so you would obtain 2 x 20 GAF. If you really want one final image instead of two, I would suggest applying a reduction (such as the element-wise mean or product).

Hope this helps you a bit.