rescale.variance: Noise standardisation for multivariate time series.
In Tveten/capacc: Collective and point anomalies in cross-correlated data

Each row of the input matrix is normalised by the estimated standard deviation computed through the median absolute deviation of increments.

1	rescale.variance(x, by_row = FALSE)

`x`	An input matrix of real values.

This is an auxiliary function used by the InspectChangepoint package.

A rescaled matrix of the same size is returned.

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x <- matrix(rnorm(40),5,8) * (1:5)
x.rescaled <- rescale.variance(x)
x.rescaled

Tveten/capacc documentation built on Sept. 29, 2021, 5:31 a.m.

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