mstdp

Syntax

mstdp(X, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Details

Calculate the population standard deviation of X in a sliding window.

Examples

mstdp(1 2 5 4 3, 3);
// output
[,,1.699673171197595,1.247219128924647,0.816496580927726]

mstdp(1 2 5 4 3, 3, 2);
// output
[,0.5,1.699673171197595,1.247219128924647,0.816496580927726]

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

mstdp(m,3);


#0	#1


2.160246899469287	3.091206165165233
2.867441755680875	4.496912521077346
2.943920288775949	2.054804667656331
2.160246899469287	5.715476066494082

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!()
mstdp(m,4d)


label	col1	col2
2020.04.07	0	0
2020.04.08	0	0
2020.04.09	1.5	0
2020.04.10	1.5	0.5
2020.04.11	2	0
2020.04.12	1.633	4

mstdp(m,1w)


label	col1	col2
2020.04.07	0	0
2020.04.08	0	0
2020.04.09	1.5	0
2020.04.10	1.5	0.5
2020.04.11	2.8674	0.5
2020.04.12	2.586	3.559

Related function: mstd