All Questions
Tagged with moving-window standard-deviation
5 questions
6
votes
2
answers
4k
views
How can I estimate the sliding window standard deviation of a stream?
I am processing a stream of database records. At current levels, about 250 million records are added per week, but this will increase. I wish to compute the 90-day sliding window standard deviation of ...
- 226
1
vote
0
answers
229
views
Rolling z-score or z-score? [closed]
Suppose that we have some time series data, in what context we use rolling z-score and when do we use z-score?
- 123
0
votes
0
answers
28
views
Stationarity and moving standard deviation
Suppose $\{X_t\}$ is stationary process. We observe a sample of $N$ observations from the process, i.e., $x_1, x_2, ..., x_N$. The stationarity property implies that the distribution doesn't change ...
- 557
0
votes
0
answers
31
views
What is it called when an outlier falls out of a rolling window statistical calculation?
I have a time series $X_t \sim N(0, 1)$. There is a single outlier at index 347, at 8.5 standard deviations from the mean. If I now compute a rolling window standard deviation of $X_t$ with window ...
- 1,334
0
votes
1
answer
161
views
Calculate the daily standard deviation for time series (stock market) in R
I´m modeling with diffrent GARCH-Models the daily standard deviation of a stock market. That includes a rolling forecast model of the daily standard deviation. This works pretty well so far.
To ...
