Papers › tsflex: flexible time series processing & feature extraction
tsflex: flexible time series processing & feature extraction
Jonas Van Der Donckt, Jeroen Van Der Donckt, Emiel Deprost, Sofie Van Hoecke
Time series processing and feature extraction are crucial and time-intensive steps in conventional machine learning pipelines. Existing packages are limited in their applicability, as they cannot cope with irregularly-sampled or asynchronous data and make strong assumptions about the data format. Moreover, these packages do not focus on execution speed and memory efficiency, resulting in considerable overhead. We present tsflex, a Python toolkit for time series processing and feature extraction, that focuses on performance and flexibility, enabling broad applicability. This toolkit leverages window-stride arguments of the same data type as the sequence-index, and maintains the sequence-index through all operations. tsflex is flexible as it supports (1) multivariate time series, (2) multiple window-stride configurations, and (3) integrates with processing and feature functions from other packages, while (4) making no assumptions about the data sampling regularity, series alignment, and data type. Other functionalities include multiprocessing, detailed execution logging, chunking sequences, and serialization. Benchmarks show that tsflex is faster and more memory-efficient compared to similar packages, while being more permissive and flexible in its utilization.
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