I am interested in estimating the "complexity" of any time series trend line in
terms of its "cumulative trend-line distance".
I need help in how to calculate the "cumulative distance" or sum of lengths of
individual lines connecting each data point to its next data point - like
tracing the (jagged) time series plot line with your finger and measuring the
total length traced.
Consider a regular time series plotted using ts.plot()
The index of complexity I am toying with would use as a reference the Minimum
Length where each data point would have the same value across all time periods
(observation points): a straight horizontal line. The Maximal Length would then
be where maximal data value variability occurs between every adjacent data
point in the series (sorta like a massive earthquake). Intermediate lengths
would represent intermediate forms of time series data variability.
Obviously I need to "stabilize" the data ranges being references and eliminate
influences of scale. That comes later ..
But I am stuck initially with just how to use S-Plus commands to sum the
sequential series of plotted time series plot lengths between adjacent points
from the starting point to the ending point.
Anyone have a method and can suggest some S-Plus standard functions to
accomplish this?
Many thanks in advance.
Andy White
Andrew N. White, Ph.D. - Manager Research Unit
Financial Reporting & Medical Economics Dept.
Hawaii Medical Service Association
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