Sliding window features

Computes feature of a time series based on sliding (overlapping) windows. shift_level_max finds the largest mean shift between two consecutive windows. shift_var_max finds the largest var shift between two consecutive windows. shift_kl_max finds the largest shift in Kulback-Leibler divergence between two consecutive windows.

shift_level_max(x, .size = NULL, .period = 1)

shift_var_max(x, .size = NULL, .period = 1)

shift_kl_max(x, .size = NULL, .period = 1)

Arguments

x

a univariate time series

.size

size of sliding window, if NULL .size will be automatically chosen using .period

.period

The seasonal period (optional)

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, Rob J Hyndman and Mitchell O'Hara-Wild