[R] Difference between two time series

[R. Michael Weylandt]

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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