mmad

mmad(X, window, [useMedian=false], [minPeriods])

Please see mFunctions for the parameters and windowing logic.

useMedian is a Boolean value. The default value is false and it returns the mean absolute deviation, otherwise returns the median absolute deviation.

• mean absolute deviation: mean(abs(X - mean(X)))

• median absolute deviation: med(abs(X - med(X)))

Calculate the average absolute deviation of X in a sliding window.

x = 7 4 6 0 -5 32;
mmad(x, window=3);
// output: [,,1.11,2.22,3.78,15.33]

mmad(x, window=3, useMedian=true)
// output: [,,1,2,5,5]

y = NULL NULL 2 5 1 7 -3 0
mmad(y, window=3, minPeriods=2);
// output: [,,,1.5,1.56,2.22,3.56,3.78]

m=matrix(85 90 95, 185 190 195);
m;

mmad(m, 2)

Related function: mad