tmvar

Syntax

tmvar(T, X, window)

Please see tmFunctions for the parameters and windowing logic.

Details

Calculate the moving 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 *, tmvar(t, x, 3) from m
t x tmvar_t
1 5
1 2 4.5
3 4 2.3333
5 1 4.5
8 2
15 8
15 9 0.5
20 10
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 *, tmvar(t, x, 3d) from m
t x tmvar_t
2021.01.02
2021.01.02 4
2021.01.04
2021.01.05 -1
2021.01.07 2 4.5
2021.01.08 4 2
select *, tmvar(t, x, 1w) from m
t x tmvar_t
2021.01.02
2021.01.02 4
2021.01.04
2021.01.05 -1 12.5
2021.01.07 2 6.333
2021.01.08 4 5.5833

Related Functions: mvar, var