martakarass/convo: Fast Computation of Running Sample Statistics

Provides methods for fast computation of running (aka rolling) sample statistics. These include running sample mean of a single numeric sequence, running sample variance of a single numeric sequence, running sample covariance of two numeric sequences. Implementation of the methods uses convolution via Fast Fourier Transform. The complexity of the convolution can be reduced from O(n^2) to O(n log n) with fast Fourier transform compared to conventional computation.

install.packages("remotes")
remotes::install_github("martakarass/convo")