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