mstd

Syntax

mstd(X,window,[minPeriods])

Please see mFunctions for the parameters and windowing logic.

Details

Calculate the standard deviation of X in a sliding window.

Examples

mstd(1 2 5 4 3, 3);
// output
[,,2.081666,1.527525,1]

mstd(1 2 5 4 3, 3, 2);
// output
[,0.707107,2.081666,1.527525,1]
m=matrix(1 6 2 9 4 5, 11 12 18 23 21 10);
m;
#0 #1
1 11
6 12
2 18
9 23
4 21
5 10 
mstd(m,3);
#0 #1
2.645751311064591 3.78593889720018
3.511884584284247 5.507570547286101
3.605551275463989 2.516611478423591
2.645751311064591 7 
m=matrix(1 NULL 4 NULL 8 6 , 9 NULL NULL 10 NULL 2)
m.rename!(date(2020.04.06)+1..6, `col1`col2)
m.setIndexedMatrix!()
mstd(m,4d)
label col1 col2
2020.04.07
2020.04.08
2020.04.09 2.1213
2020.04.10 2.1213 0.7071
2020.04.11 2.8284
2020.04.12 2 5.6569 
mstd(m,1w)
label col1 col2
2020.04.07
2020.04.08
2020.04.09 2.1213
2020.04.10 2.1213 0.7071
2020.04.11 3.5119 0.7071
2020.04.12 2.9861 4.3589

Related functions: mmin, mmax, mavg, msum, mvar