mvar

Syntax

mvar(X, window, [minPeriods])

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

Details

Calculate the moving variances of X in a sliding window.

Examples

$ mvar(1..6, 5);
[,,,,2.5,2.5]

$ mvar(1..6, 5, 2);
[,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