runstats: Fast Computation of Running Statistics for Time Series

Provides methods for fast computation of running sample statistics for time series. These include: (1) mean, (2) standard deviation, and (3) variance over a fixed-length window of time-series, (4) correlation, (5) covariance, and (6) Euclidean distance (L2 norm) between short-time pattern and time-series. Implemented methods utilize Convolution Theorem to compute convolutions via Fast Fourier Transform (FFT).

Package details

AuthorMarta Karas [aut, cre] (<>), Jacek Urbanek [aut] (<>), John Muschelli [ctb] (<>), Lacey Etzkorn [ctb]
MaintainerMarta Karas <>
Package repositoryView on CRAN
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runstats documentation built on Jan. 11, 2020, 9:17 a.m.