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Tagged with moving-window variance
3 questions
1
vote
1
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32
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How to interpret the differences in estimated variances?
I estimated the variance of Bitcoin in several ways using the var command in R, and within a GARCH model. I get series that look a bit similar, but the y-axis gives ...
2
votes
1
answer
228
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Expected value of rolling variance/standard deviation of an AR(1) process
Consider a random variable following an AR(1) model:
$$x_t = \mu+\rho x_{t-1} + \epsilon_t$$
Assumme that $\epsilon_t$ follows $N(0,\sigma^2_\epsilon)$. Now consider the rolling variance and/or ...
- 139
2
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0
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303
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Use sliding window to find variance for seasonal time series in R
I would like to estimate the variance of a time series. Say, if the time series has a period of 24, and I want to estimate the variance using
$$ \sigma_t^2 = \frac{1}{2k+1} \sum^k_{-k} (y_{t+24k} - \...
- 559