cumvarTopN

cumvarTopN(X, S, top, [ascending=true], [tiesMethod='latest'])

Please see Cumulative Moving TopN Functions for the parameters and windowing logic.

The function stably sorts X by S in the order specified by ascending, then calculates the unbiased sample variance of the first top elements in a cumulative window.

Return value: DOUBLE type.

X=1 2 3 10 100 4 3
S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
cumvarTopN(X, S, 6, 4)
// output
[,0.5,1,16.6666,1855.7,1546,1538.9666]

X = matrix(1..10, 11..20)
S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29 2022.01.20 2022.01.23 2022.01.22 2022.01.24 2022.01.24, NULL 2022.02.03 2022.01.23 2022.04.06 NULL 2022.02.03 2022.02.03 2022.02.05 2022.02.08 2022.02.03)
cumvarTopN(X, S, 6, 4)

id=rand(10,10)
price=rand(100,10)
t=table(id, price)
select cumvarTopN(price, id, 6, 4) as result from t