mvarTopN

mvarTopN(X, S, window, top, [ascending=true], [tiesMethod='oldest'])

Please see mTopN for the parameters and windowing logic.

Within a sliding window of given length (measured by the number of elements), the function stably sorts X by S in the order specified by ascending, then calculates the unbiased sample variance of the first top elements.

X = 1..7
S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
mvarTopN(X, S, 4, 2)
// output
[,0.5,2,0.5,0.5,0.5,2]

X = NULL 1 2 3 4 NULL 5
S = 3 5 1 1 5 2 4
mvarTopN(X, S, 4, 2)
// output
[,,,0.5,0.5,0.5,]

X = matrix(1..5, 6..10)
S = 2022.01.01 2022.02.03 2022.01.23 2022.04.06 2021.12.29
mvarTopN(X, S, 3, 2)

X = matrix(1..5, 6..10)
S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29,NULL 2022.02.03 2022.01.23 2022.04.06 NULL)
mvarTopN(X, S, 3, 2)

Related function: mvar