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] (<https://orcid.org/0000-0001-5889-3970>), Jacek Urbanek [aut] (<https://orcid.org/0000-0002-1890-8899>), John Muschelli [ctb] (<https://orcid.org/0000-0001-6469-1750>), Lacey Etzkorn [ctb]
MaintainerMarta Karas <marta.karass@gmail.com>
LicenseGPL-3
Version1.1.0
URL https://github.com/martakarass/runstats
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("runstats")

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runstats documentation built on Jan. 11, 2020, 9:17 a.m.