Variance
var is not recommended. Use timetable instead. For more information, see Convert Financial Time Series Objects fints to Timetables.
y = var(X) y = var(X,1) y = var(X,W) y = var(X,W,DIM)
| Financial time series object. |
| Weight vector used in calculating variance. |
| Dimension of |
var supports financial time series objects based on the MATLAB®
var function. See var.
y = var(X), if X is a financial time series
object and returns the variance of each series.
var normalizes y by N –
1 if N > 1, where
N is the sample size. This is an unbiased estimator of the
variance of the population from which X is drawn, as long as
X consists of independent, identically distributed samples. For
N = 1, y is normalized by
N.
y = var(X,1) normalizes by N and produces the
second moment of the sample about its mean. var(X, 0) is the same as
var(X).
y = var(X,W) computes the variance using the weight vector
W. The length of W must equal the length of
the dimension over which var operates, and its elements must be
nonnegative. var normalizes W to sum to
1. Use a value of 0 for W
to use the default normalization by N – 1, or use
a value of 1 to use N.
y = var(X,W,DIM) takes the variance along the dimension
DIM of X.
The variance is the square of the standard deviation. Consider if
f = fints((today:today+1)', [4 -2 1; 9 5 7])
Warning: FINTS will be removed in a future release. Use TIMETABLE instead.
> In fints (line 165)
Warning: FINTS will be removed in a future release. Use TIMETABLE instead.
> In fints/display (line 66)
f =
desc: (none)
freq: Unknown (0)
'dates: (2)' 'series1: (2)' 'series2: (2)' 'series3: (2)'
'02-Oct-2017' [ 4] [ -2] [ 1]
'03-Oct-2017' [ 9] [ 5] [ 7]
then
var(f, 0, 1)
is
Warning: FINTS will be removed in a future release. Use TIMETABLE instead. > In fints/var (line 49) [12.5 24.5 18.0]
and
var(f, 0, 2)
is
Warning: FINTS will be removed in a future release. Use TIMETABLE instead. > In fints/var (line 49) [9.0; 4.0]