RunningVar function

Fast Running Variance Computation

Computes running sample variance of a time-series x in a fixed length window.

RunningVar(x, W, circular = FALSE)

Arguments

• x: A numeric vector.
• W: A numeric scalar; length of x window over which sample variance is computed.
• circular: Logical; whether running sample variance is computed assuming circular nature of x time-series (see Details).

Returns

A numeric vector.

Details

The length of output vector equals the length of x vector. Parameter circular determines whether x time-series is assumed to have a circular nature. Assume $l_x$ is the length of time-series x, W is a fixed length of x time-series window.

If circular equals TRUE then

• first element of the output time-series corresponds to sample variance of x[1:W],
• last element of the output time-series corresponds to sample variance of c(x[l_x], x[1:(W - 1)]).

If circular equals FALSE then

• first element of the output time-series corresponds to sample variance of x[1:W],
• the $l_x - W + 1$-th element of the output time-series corresponds to sample variance of x[(l_x - W + 1):l_x],
• last W-1 elements of the output time-series are filled with NA.

See runstats.demo(func.name = "RunningVar") for a detailed presentation.

Examples

x <- rnorm(10)
RunningVar(x, W = 3, circular = FALSE)
RunningVar(x, W = 3, circular = TRUE)