Skip to main content

All Questions

Filter by
Sorted by
Tagged with
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 ...
Sane's user avatar
  • 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 ...
PyRsquared's user avatar
  • 1,334
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?
user398843's user avatar
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 ...
chris_kentucky's user avatar
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 ...
Paul Chernoch's user avatar