Time series standard deviation: Defined lookback period

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

[Jae Song]

You can try to use the nanstd(t) function where t can be a time series data with the number of observations.

Answer 1

[Star Strider]

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?