Fast Computation of Running Statistics for Time Series
Fast Running Correlation Computation
Fast Running Covariance Computation
Fast Running L2 Norm Computation
Fast Running Mean Computation
Fast Running Standard Deviation Computation
Fast Running Variance Computation
Demo visualization of package functions
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).