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Statistics

  

MovingStatistic

  

compute moving statistics for a data set

 

Calling Sequence

Parameters

Description

Examples

Calling Sequence

MovingStatistic(X, m, f, options)

Parameters

X

-

data set

m

-

bandwidth

f

-

statistic

options

-

additional parameters to be passed to the procedure f.

Description

• 

The MovingStatistic function computes moving statistics for a set of observations.

• 

The first parameter X is a single data sample - given as e.g. a Vector. Each value represents an individual observation.

• 

The second parameter m is the size of the moving window.

• 

The third argument f is the statistic; can be any of the DescriptiveStatistics routines or a maple procedure which accepts a Vector and returns a floating point number.

• 

Note that after f has been called on one subsample, the same Vector is reused for the next subsample, for efficiency reasons. All the builtin DescriptiveStatistics routines can handle this, but if you specify a custom maple procedure for f, you may need to copy its input Vector if you will need access to it after returning. See the example below for an explanation.

Examples

withStatistics:

Aseqsini,i=1..20:

UMovingStatisticA,5,Mean

U:= 1 .. 16 VectorcolumnData Type: anythingStorage: rectangularOrder: Fortran_order

(1)

VMovingStatisticA,5,t→FivePointSummaryt,output=maximum

V:= 1 .. 16 VectorcolumnData Type: anythingStorage: rectangularOrder: Fortran_order

(2)

f := proc(A, q)
  Statistics[Quantile](A, q);
end proc:

WMovingStatisticA,5,f,0.3

W:= 1 .. 16 VectorcolumnData Type: anythingStorage: rectangularOrder: Fortran_order

(3)

LineChartA,U,V,W,color=red..blue,thickness=3,legend=original,mean,maximum,quantile

The following command will fail to apply the unassigned name g to the two correct sub-Vectors, because the same Vector is reused internally, as described above:

MovingStatistic1,2,3,2,g

g23g23

(4)

This command, however, will make a copy for every sub-Vector and thus get the correct answer.

MovingStatistic1,2,3,2,v→gcopyv

g12g23

(5)

See Also

Statistics

Statistics[DataSmoothing]

Statistics[ExponentialSmoothing]

Statistics[MovingAverage]

 


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