This is a fast Singular Spectrum Transformation (SST) implementation. SST can be used for anomaly detection over temporal sequence data.
# g++ -O2 sst.cpp -llapack -lblas
# ./a.out
NOTE: LAPACK and BLAS library is required for compiling.
Please, see sst_test()
in sst.cpp and CpuSstWorkspace
class in felixsst.h. FelixSstWorkspace
implements a fast version SST. NaiveSstWorkspace
implements a SVD-based SST.
MIT License.