Python Machine Learning Blueprints - Second Edition

Dynamic time warping

Next, however, I want to introduce another model, which uses a completely different algorithm. This algorithm is called dynamic time warping. What it does is give you a metric that represents the similarity between two time series:

1. To get started, we'll need to pip install the fastdtw library:

!pip install fastdtw 

2. Once that is installed, we'll import the additional libraries we'll need:

from scipy.spatial.distance import euclidean 
from fastdtw import fastdtw 

3. Next, we'll create the function that will take in two series and return the distance between them:

def dtw_dist(x, y): 
    distance, path = fastdtw(x, y, dist=euclidean) 
    return distance 

4. Now, we'll split our 18 years' worth of time series data into distinct five-day ...