Time series features based on sliding windows

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

max_level_shift(x, width = ifelse(frequency(x) > 1, frequency(x), 10))

max_var_shift(x, width = ifelse(frequency(x) > 1, frequency(x), 10))

max_kl_shift(x, width = ifelse(frequency(x) > 1, frequency(x), 10))

Arguments

x

a univariate time series

width

size of sliding window

Value

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

Details

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

Author

Earo Wang and Rob J Hyndman