Hi Rafael. I'm not an expert in EEG -related applications, but this sounds like something similar to e.g. speech recognition, in which you constantly acquire 1D signal data (audio), and you then apply a detection algorithm to windows of data. We have a speech recognition example, which uses deep learning. I think you could maybe adapt that to your problem. If you're new to machine and deep learning with MATLAB, you could take a look at our free on-ramp courses for deep learning and machine learning. Also, we have lots and lots of examples in documentation.
Regarding data import, the best way is to use datastores. There are different types of datastores for different data, e.g. audio and image data.
Some challenges that you face could be e.g. computational complexity, i.e. it takes a lot of time to train deep learning models. You can solve this by training your models on a GPU. MATLAB trains models automatically on a GPU, if you have one. If your computer doesn't have a supported GPU, you can launch a virtual machine with a powerful GPU in the cloud with MATLAB pre-installed on it. Just google "mathworks reference architectures" to land on a github page from where you can launch a GPU instance with MATLAB installed. Note: you need to have an Azure or AWS account to do this.
