mmad

mmad(X, window, [useMedian=false], [minPeriods])

Please see mFunctions for the parameters and windowing logic.

useMedian is a Boolean value. The default value is false and it returns the mean absolute deviation, otherwise returns the median absolute deviation.

• mean absolute deviation: mean(abs(X - mean(X)))

• median absolute deviation: med(abs(X - med(X)))

Calculate the the average absolute deviation of X in a sliding window.

x = 7 4 6 0 -5 32;
mmad(x, window=3);
// output
[,,1.111111111111111,2.222222222222222,3.777777777777777,15.333333333333333]

mmad(x, window=3, useMedian=true)
// output
[,,1,2,3.666666666666666,12.333333333333333]

y = NULL NULL 2 5 1 7 -3 0
mmad(y, window=3, minPeriods=2);
// output
[,,,1.5,1.555555555555555,2.222222222222222,3.555555555555556,3.777777777777778]

m=matrix(85 90 95, 185 190 195);
m;

mmad(x, 2)

Related function: mad