Examples of using runstats package

Marta Karas



Package runstats provides methods for fast computation of running sample statistics for time series. The methods utilize Convolution Theorem to compute convolutions via Fast Fourier Transform (FFT). Implemented running statistics include:

  1. mean,
  2. standard deviation,
  3. variance,
  4. covariance,
  5. correlation,
  6. euclidean distance.



Running statistics

To better explain the details of running statistics, package’s function runstats.demo(func.name) allows to visualize how the output of each running statistics method is generated. To run the demo, use func.name being one of the methods’ names:

  1. "RunningMean",
  2. "RunningSd",
  3. "RunningVar",
  4. "RunningCov",
  5. "RunningCor",
  6. "RunningL2Norm".