MOVSTD

Purpose:

Calculates the moving standard deviation of a series.

Syntax:

MOVSTD(series, N, rampflag, mode)

series

-

A series or table.

N

-

An integer, the number of points to compute the standard deviation as the series is processed.

rampflag

-

Optional. An integer, endpoint averaging flag.

0:

down

1:

up (default)

mode

-

Optional. An integer, the normalization mode. For N = length(series):

0:

Normalize by 1/(N-1) (default)

1:

Normalize by 1/N

Returns:

A series or table.

Example:

W1: {1, 2, 4, 7}

W2: movstd(W1, 3)

 

returns the series {0, 0.612, 1.528, 2.517, 1.837, 0}

 

W3: movstd(W1, length(W1))

 

W3[length(w1)] == stdev(w1) == 2.645751

Remarks:

MOVSTD computes the moving standard deviation. For each section of length N, the sample standard deviation value (mode == 0) is defined as:

 

image\std01.gif

 

where the arithmetic mean is defined as:

 

image\std02.gif

 

The population standard deviation (mode == 1) is defined as:

 

image\std03.gif

See Also:

MOVAVG

MOVRMS

STDEV