max_level_shift: Time series features based on sliding windows

Description Usage Arguments Details Value Author(s)

View source: R/features.R

Description

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.

Usage

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Arguments

x

a univariate time series

width

size of sliding window

Details

Computes the largest level shift and largest variance shift in sliding mean calculations

Value

A vector of 2 values: the size of the shift, and the time index of the shift.

Author(s)

Earo Wang and Rob J Hyndman


tsfeatures documentation built on July 1, 2020, 7:12 p.m.