Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

var

Variance

Syntax

y = var(X)
y = var(X, 1)
y = var(X, W)
y = var(X, W, DIM)

Arguments

X

Financial times series object.

W

Weight vector used in calculating variance.

DIM

Dimension of X used in calculating variance.

Description

var supports financial time series objects based on the MATLAB® var function. See var in the MATLAB documentation.

y = var(X), if X is a financial time series object and returns the variance of each series.

var normalizes y by N1 if N > 1, where N is the sample size. This is an unbiased estimator of the variance of the population from which X is drawn, as long as X consists of independent, identically distributed samples. For N = 1, y is normalized by N.

y = var(X, 1) normalizes by N and produces the second moment of the sample about its mean. var(X, 0) is the same as var(X).

y = var(X, W) computes the variance using the weight vector W. The length of W must equal the length of the dimension over which var operates, and its elements must be nonnegative. var normalizes W to sum to 1. Use a value of 0 for W to use the default normalization by N1, or use a value of 1 to use N.

y = var(X, W, DIM) takes the variance along the dimension DIM of X.

Examples

The variance is the square of the standard deviation. Consider if

 f = fints((today:today+1)', [4 -2 1; 9  5 7])

then

var(f, 0, 1)

is

[12.5 24.5 18.0]

and

var(f, 0, 2)

is

[9.0; 4.0]

Related Examples

See Also

| | |

Introduced before R2006a

Was this topic helpful?