martakarass/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).

Getting started

Package details

Maintainer
LicenseGPL-3
Version1.1.0
URL https://github.com/martakarass/runstats
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("martakarass/runstats")
martakarass/runstats documentation built on Nov. 16, 2019, 6:50 a.m.