mvar

Syntax

mvar(X, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Details

Calculate the moving variances of X in a sliding window.

Examples

mvar(1..6, 5);
// output
[,,,,2.5,2.5]

mvar(1..6, 5, 2);
// output
[,0.5,1,1.666667,2.5,2.5]
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 
mvar(m,3);
#0 #1
7 14.333333333333314
12.333333333333335 30.333333333333314
13 6.333333333333372
7 49 
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!()
mvar(m,4d)
label col1 col2
2020.04.07
2020.04.08
2020.04.09 4.5
2020.04.10 4.5 0.5
2020.04.11 8
2020.04.12 4 32 
mvar(m,1w)
label col1 col2
2020.04.07
2020.04.08
2020.04.09 4.5
2020.04.10 4.5 0.5
2020.04.11 12.3333 0.5
2020.04.12 8.9167 19

Related functions: var