invenia / invenia/FeatureTransforms.jl

Add an nth difference transform

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Description

Would be nice to have a generic transform for the nth difference of a time series. Something like;

`b = Difference(n, a)` where `b[i] = a[i+n] - a[i]` where `a` is the vector we want the differences for, and `n` is the number of steps we want to take the difference over.

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