tmvarp
Syntax
tmvarp(T, X, window)
Please see tmFunctions for the parameters and windowing logic.
Details
Calculate the moving population variance of X in a sliding window.
Examples
T = 1 1 3 5 8 15 15 20
X = 5 2 4 1 2 8 9 10
m=table(T as t, X as x)
select *, tmvarp(t, x, 3) from m| t | x | tmvarp_t |
|---|---|---|
| 1 | 5 | 0 |
| 1 | 2 | 2.25 |
| 3 | 4 | 1.5556 |
| 5 | 1 | 2.25 |
| 8 | 2 | 0 |
| 15 | 8 | 0 |
| 15 | 9 | 0.25 |
| 20 | 10 | 0 |
T = 2021.01.02 2021.01.02 2021.01.04 2021.01.05 2021.01.07 2021.01.08
X = NULL 4 NULL -1 2 4
m = table(T as t,X as x)
select *, tmvarp(t, x, 3d) from m| t | x | tmvarp_t |
|---|---|---|
| 2021.01.02 | ||
| 2021.01.02 | 4 | 0 |
| 2021.01.04 | 0 | |
| 2021.01.05 | -1 | 0 |
| 2021.01.07 | 2 | 2.25 |
| 2021.01.08 | 4 | 1 |
select *, tmvarp(t, x, 1w) from m| t | x | tmvarp_t |
|---|---|---|
| 2021.01.02 | ||
| 2021.01.02 | 4 | 0 |
| 2021.01.04 | 0 | |
| 2021.01.05 | -1 | 6.25 |
| 2021.01.07 | 2 | 4.2222 |
| 2021.01.08 | 4 | 4.1875 |