Incremental differences

MD_hrv_classic_pnn40

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
0.04σ0.04\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
0.04σ0.04\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
0.04σ0.04\sigma
threshold, yielding a high value for this statistic:
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