mmad

Syntax

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

Please see Moving Functions (m-functions) for the parameters and windowing logic.

Arguments

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)))

Details

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

Examples

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

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

$ y = NULL NULL 2 5 1 7 -3 0
$ mmad(y, window=3, minPeriods=2);
[,,,1.5,1.555555555555555,2.222222222222222,3.555555555555556,3.777777777777778]
$ m=matrix(85 90 95, 185 190 195);
$ m;

#0

#1

85

185

90

190

95

195

$ mmad(x, 2)

#0

#1

2.5

2.5

2.5

2.5

Related function: mad