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Time series standard deviation: Defined lookback period

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Christoph Meier
Christoph Meier on 21 Sep 2015
Answered: Star Strider on 22 Sep 2015
Dear MATLAB community,
I have monthly time series data, and would like to compute time-series standard deviations of a variable for month t, which looks at values for a defined time frame. For instance, for the last 24 observations. Thus, the standard deviation for a variable at t should be computed of the t-24 to t values of that variable.
I could not find a solution in the forum, and would be extremely grateful for any recommendations.
Optimally, it should also ignore NaNs, as my data file has quite a few missing observations, due to the nature of the data.
Thank you!
Chris

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Jae Song
Jae Song on 22 Sep 2015
You can try to use the nanstd(t) function where t can be a time series data with the number of observations.

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Answers (1)

Star Strider
Star Strider on 22 Sep 2015
I have no idea what your timeseries data look like, so this is just a guess. Have you used the getsamples and std (for timeseries) functions?

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