Message-ID: <CAAmySGMMvdpBgPUd1owL8ut40X-iw4m_pcdYm-71tm1W7_jNLg@mail.gmail.com>
Date: 2011-11-15T20:43:09Z
From: R. Michael Weylandt
Subject: Difference between two time series
In-Reply-To: <1321384692397-4073800.post@n4.nabble.com>
It's not clear what it means for the differences to be "of increasing
order" but if you simply mean the differences are increasing, perhaps
something like this will work:
library(caTools)
X = cumsum( 2*(runif(5e4) > 0.5) - 1) # Create a random Walk
Y = runmean(X, 30, endrule = "mean", align = "right")
D = X - Y # Create the difference series:
# Now we need to find the ranges of increasing: to do this, we can just lag D
sign(D - c(0, D[1:(length(D)-1)]))
If you want to find the length of each run or to find runs of a
certain length, try rle().
Michael
On Tue, Nov 15, 2011 at 2:18 PM, Sarwarul Chy <sarwar.shabuj at gmail.com> wrote:
> Hello,
>
> Can you please help me with this? I am also stack in the same problem.
>
> Sam
>
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