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catch22 Features

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Incremental differences

`MD_hrv_classic_pnn40`

computes the proportion of difference magnitudes that are greater than 4% of the standard deviation of the time series.This feature will give low values to series that have periods in which the series stays approximately constant (within

$0.04\sigma$

), and high values to series that do (e.g., they 'jump around alot' from point to point).This is a common statistic to measure about heart rate time series, cf. "*The pNNx files: re-examining a widely used heart rate variability measure"*, J.E. Mietus et al., Heart 88(4) 378 (2002).

For example, the Rossler attractor time series below has many near-constant stretches (Just 14.5% of all step increments are larger than

$0.04\sigma$

), yielding a low value for this statistic:These log returns of opening prices of a stock, on the other hand, fluctuate alot more: 95% of successive increments exceed the

$0.04\sigma$

threshold, yielding a high value for this statistic:β

Last modified 11mo ago

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