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I have a series of values, they are a time series. I know what standard deviation is. I want to measure how much values in a series differ from one value to the next.

50,50,50,50,50,100,100,100,100,100

50,100,50,100,50,100,50,100,50,100

This two series have the same standard deviation. I want to know is there some other measure that would measure how this two series are different. The series are made for better understanding of my point, they are not real numbers.

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  • $\begingroup$ You could construct a linear model (maybe polynomial given your data) and look at the R^2 (ratio explained variance) by the curve. $\endgroup$ Sep 13, 2018 at 9:04
  • $\begingroup$ Did you ever find a measure that measures this? $\endgroup$
    – guy
    Oct 27, 2018 at 17:04

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I come across a similar but much more complicated problem today. For the problem you posted, a way to measure the variation is to calculate the standard deviation of the two series' 1-step difference. i.e. you can compare the following two results:

std([0,0,0,0,50,0,0,0,0])=15.713
std([50,-50,50,-50,50,-50,50,-50,50])=49.690
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