Running variance plot

[EViews Gareth]

Not quite sure what you're asking.

[EViews Gareth]

s_r(n)²=1/(n-1)*sum[t=1 to n](x(t)-mean)²

ok, I'm going to assume that you wish to generate a series following the above formula. Without knowing what the components of that formula are, it is pretty difficult to tell you how to do so.

[EViews Gareth]

The @trend, @cumsum and @mean functions will get you there. Something like:

Code: Select all

series s_r = 1/(@trend)*@cumsum(x-@mean(x))

[EViews Glenn]

While Gareth has given you the command that matches your expression, the problem with this as a cumulative variance is that the mean adjustment to the original data uses a mean that isn't cumulative. So it's not quite a cumulative variance.

So while I'm not sure what you want, I will point out that there are recursive formulae for the variance:
http://mathworld.wolfram.com/SampleVari ... ation.html
http://blogs.sas.com/content/iml/2012/0 ... -variance/

[EViews Glenn]

That's fine if you are happy with that calculation. The only thing I was pointing out is that you are computing your variance using a mean that is taken from the full sample which is slightly different from the "draw the variance estimated from the first n terms" interpretation.

[EViews Glenn]

That is correct.