22 lines
628 B
Matlab
22 lines
628 B
Matlab
function sd=smartMovingStd(x, T, varargin)
|
|
% calculate standard deviation of x over T days. Expect T-1
|
|
% NaN in the beginning of the series
|
|
% [mvstd]=smartMovingStd(x, lookback, period) creates moving std of lookback
|
|
% periods. I.e. data is sampled every period.
|
|
% This version is inefficient. See implementation of smartMovingCorrcoef
|
|
% for faster implementation.
|
|
|
|
sd=NaN*ones(size(x));
|
|
|
|
if (nargin == 2)
|
|
for t=T:size(x, 1)
|
|
% for t=T:length(x)
|
|
sd(t, :)=smartstd(x(t-T+1:t, :));
|
|
end
|
|
else
|
|
period=varargin{1};
|
|
for t=T*period:size(x, 1)
|
|
sd(t, :)=smartstd(x(t-T*period+1:t, :));
|
|
end
|
|
end
|