var

Variance

var is not recommended. Use timetable instead. For more information, see Convert Financial Time Series Objects fints to Timetables.

Syntax

y = var(X)

y = var(X,1)

y = var(X,W)

y = var(X,W,DIM)

Description

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

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

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 N – 1, or use a value of 1 to use N.

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

Examples

Variance is the Square of Standard Deviation

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

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

   Warning: FINTS will be removed in a future release. Use TIMETABLE instead. 
   > In fints (line 165) 
   Warning: FINTS will be removed in a future release. Use TIMETABLE instead. 
   > In fints/display (line 66) 
    
   f = 
    
       desc:  (none)
       freq:  Unknown (0)
   
       'dates:  (2)'    'series1:  (2)'    'series2:  (2)'    'series3:  (2)'
       '02-Oct-2017'    [            4]    [           -2]    [            1]
       '03-Oct-2017'    [            9]    [            5]    [            7]
   

2. Then it follows:

   var(f, 0, 1)

   is

   Warning: FINTS will be removed in a future release. Use TIMETABLE instead. 
   > In fints/var (line 49) 
   [12.5 24.5 18.0]

   and

   var(f, 0, 2)

   is

   Warning: FINTS will be removed in a future release. Use TIMETABLE instead. 
   > In fints/var (line 49) 
   [9.0; 4.0]

Input Arguments

X — Financial time series object

fints object

Financial time series object, specified as a fints object.

Data Types: object

W — Weight vector used in calculating variance

vector

Weight vector used in calculating variance, specified as a vector.

Data Types: double

DIM — Dimension of X used in calculating variance

numeric

Dimension of X used in calculating variance, specified as a scalar numeric.

Data Types: double

Output Arguments

y — Variance of each series

vector

Variance of each series, returned as a vector.

var normalizes y by N – 1 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.

Version History

Introduced before R2006a