runstats

Fast Computation of Running Statistics for Time Series

CRAN Package

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).

  • Version1.1.0
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Languageen-US
  • Last release11/14/2019

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