Irregularly sampled data #363
Description
Hello! I want to use the library to detect change points in a multivariate irregularly sampled signal.
Meaning, time gaps between samples isn't constant, and on each timestamp some of the dimensions might be null.
I want to use bottom up / kernelcpd with rbf cost function, what modifications should I do to my data and to the algorithm?
I can do interpolation and resample to a constant grid, but my data might be too noisy and interpolation might be too bad for me.
Thank you!