tsfeatures: max_level_shift – R documentation

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max_level_shift

Time series features based on sliding windows

Description

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

Details

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

Value

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

Author(s)

Earo Wang and Rob J Hyndman

tsfeatures

Time Series Feature Extraction

v1.0.2

GPL-3

Authors

Rob Hyndman [aut, cre] (<https://orcid.org/0000-0002-2140-5352>), Yanfei Kang [aut] (<https://orcid.org/0000-0001-8769-6650>), Pablo Montero-Manso [aut], Thiyanga Talagala [aut] (<https://orcid.org/0000-0002-0656-9789>), Earo Wang [aut] (<https://orcid.org/0000-0001-6448-5260>), Yangzhuoran Yang [aut], Mitchell O'Hara-Wild [aut] (<https://orcid.org/0000-0001-6729-7695>), Souhaib Ben Taieb [ctb], Cao Hanqing [ctb], D K Lake [ctb], Nikolay Laptev [ctb], J R Moorman [ctb]

Initial release