runVar {kcpRS}

Running Variances

Description

Extracts the running variances by sliding a window comprised of wsize time points, and in each window, the variance for each variable is computed. Each time the window is slid, the oldest time point is discarded and the latest time point is added.

Usage

runVar(data, wsize = 25)

Arguments

data

N x v dataframe where N is the no. of time points and v the no. of variables

wsize

Window size

Value

Running variances time series

Examples

phase1=cbind(rnorm(50,0,1),rnorm(50,0,1)) #phase1: SD=1
phase2=cbind(rnorm(50,0,2),rnorm(50,0,2)) #phase2: SD=2
X=rbind(phase1,phase2)
RS=runVar(data=X,wsize=25)
ts.plot(RS, gpars=list(xlab="Window", ylab="Variances", col=1:2,lwd=2))