movingstd & movingstd2

Versión 1.4.0.0 (3,54 KB) por John D'Errico
A (fast) windowed std on a time series (or array)
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Actualizado 8 abr 2016

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Occasionally I see a request for computation of a running, windowed standard deviation. This is easily accomplished using filter and the alternative formula for the standard deviation:
std = sqrt((sum(x.^2) - n*xbar.^2)/(n-1)).
movingstd allows you to specify forward, backward or central windows of any desired length. It patches the ends, shortening the window as necessary.
movingstd2 is now included, allowing a moving window standard deviation on 2-dimensional arrays. (I suppose I could easily enough implement movingstdn if that becomes of interest.)

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John D'Errico (2026). movingstd & movingstd2 (https://es.mathworks.com/matlabcentral/fileexchange/9428-movingstd-movingstd2), MATLAB Central File Exchange. Recuperado .

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Se creó con R14SP1
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Inspiración para: slidefun

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Versión Publicado Notas de la versión
1.4.0.0

movingstd2 included
1.3.0.0

strncmpi instead of strmatch for tests
Pre-centered and pre-scaled now
1.2.0.0

Fix the case of complex std results due to floating point arithmetic.
1.1.0.0

Documentation change to explicitly state the behavior at the end of the series.