Computes feature of a time series based on sliding (overlapping) windows.
max_level_shift finds the largest mean shift between two consecutive windows.
max_var_shift finds the largest var shift between two consecutive windows.
max_kl_shift finds the largest shift in Kulback-Leibler divergence between
two consecutive windows.
1 2 3 4 5
a univariate time series
size of sliding window
Computes the largest level shift and largest variance shift in sliding mean calculations
A vector of 2 values: the size of the shift, and the time index of the shift.
Earo Wang and Rob J Hyndman
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