tsmp: An R Package for Time Series with Matrix Profile

Abstract

This article describes tsmp, an R package that implements the matrix profile concept for time series. The tsmp package is a toolkit that allows all-pairs similarity joins, motif, discords and chains discovery, semantic segmentation, etc. Here we describe how the tsmp package may be used by showing some of the use-cases from the original articles and evaluate the algorithm speed in the R environment. This package can be downloaded at https://CRAN.R-project.org/package=tsmp.