Documentation |
Standard deviation ignoring NaNs
y = nanstd(X) y = nanstd(X,1) y = nanstd(X,FLAG,DIM)
X | Financial times series object. |
FLAG | Normalization flag. |
DIM | Dimension along which the operation is conducted. |
nanstd for financial times series objects is based on the Statistics Toolbox™ function nanstd. See nanstd in the Statistics Toolbox documentation.
y = nanstd(X) returns the sample standard deviation of the values in a financial time series object X, treating NaNs as missing values. y is the standard deviation of the non-NaN elements of X.
nanstd normalizes y by (N – 1), where N is the sample size. This is the square root of an unbiased estimator of the variance of the population from which X is drawn, as long as X consists of independent, identically distributed samples and data are missing at random.
y = nanstd(X,1) normalizes by N and produces the square root of the second moment of the sample about its mean. nanstd(X,0) is the same as nanstd(X).
y = nanstd(X,flag,dim) takes the standard deviation along the dimension dim of X. Set the value of flag to 0 to normalize the result by n – 1; set the value of flag to 1 to normalize the result by n.