Hi,
Is mdev supposed to calculate a standard deviation? I compared the output with Excel stdev
// input
// calling the function
// window is 5
| VALUE | MOVING_DEV |
Hi gekaprog,
The mdev function in kdb+ calculates the population standard deviation, in Excel you have the sample deviation (SDDEV.S) rather than the population one (SDDEV.P).
Multiply your result in kdb+ by the square root of (n-1)/n to get the Excel result.
Thanks
Kevin,
Thank you
For the sake of other readers, I checked and the multiplier comes out of equation sqrt(1/n-1)=x*sqrt(1/n). then x=sqrt(n/n-1).
Out of curiosity, I checked and noticed sqrt(5%4) is not multiplying the list through correctly. Why?
t:153.84 154.87 154.45 155.53 156.11 154.98 153.98 156.77 158.29 158.11 158.85
t2:5 mdev t
sqrt(5%4)*t2 // prints wrong results
1.118034f*t2 // prints correct results, matching Excel stdev.s
Thanks,
This is a right-to-left execution problem. If you rearrange, it works:
q)t2*sqrt(5%4)
0 0.5757875 0.4727872 0.6884936 0.8902247 0.6434439 0.8449556 1.068096 1.655787 1.904109 1.955249
q)1.118034f*t2
0 0.5757875 0.4727872 0.6884936 0.8902247 0.6434439 0.8449556 1.068096 1.655787 1.904109 1.955249
Hope that helps
Jonathon
sieber
November 22, 2016, 1:53pm
5
sqrt(5%4)*t2 // prints wrong results
1.118034f*t2 // prints correct results, matching Excel stdev.s
you should use
with sqrt(5%4)*t2 you multiply t2 with (5%4) and then you do the square root of the result.
Markus, this is very helpful. Clearly, not how I expected an interpreter to parse expression sqrt(5%4)*t2. odd
sieber
November 25, 2016, 8:39am
7
q/k handles many things quite different then the usual programming languages.
You really have to accept this and learn the language (-> http://code.kx.com/wiki/JB:QforMortals )
but I promise: it’s worth! Once you grabbed the concepts of k/q you will love its simplicity and power.
Thanks, it’s extremely
As for my problem, I’ve noticed another discrepancy - 0n in the result set and
t:22.89276 22.89276 22.89276 22.89276 22.87285 22.82308 22.84299
q)3 mdev t
0 0 0n 0n 0.00938425 0.02930163 0.02045185 0.00938425 0.02930163 0.1048127
effbiae
November 27, 2016, 4:49am
9
i see no nulls with mdev:
q)x:22.89276 22.89276 22.89276 22.89276 22.87285 22.82308 22.84299
q)3 mdev x
0 0 0 0 0.009385664 0.02930446 0.02045342
i note that your t has 7 values, but your 3 mdev t has 10 values.
your 3 mdev t is not a result from the t you present, but may be a result of another list you have generated that does contain 0n.
---------- Forwarded message ----------gekaprog <vortexsbkny@gmail.com >personal-kdbplus@googlegroups.com >
Thanks, it’s extremely
As for my problem, I’ve noticed another discrepancy - 0n in the result set and
t:22.89276 22.89276 22.89276 22.89276 22.87285 22.82308 22.84299
q)3 mdev t
0 0 0n 0n 0.00938425 0.02930163 0.02045185 0.00938425 0.02930163 0.1048127
On Monday, November 21, 2016 at 4:22:01 AM UTC-5, gekaprog wrote:
Hi,
Is mdev supposed to calculate a standard deviation? I compared the output with Excel stdev
// input
// calling the function
// window is 5
| VALUE | MOVING_DEV |
Sorry, that was a bad screen copy. Here is another try. 0n would make sense if q engine
q)t5:22.89276 22.89276 22.89276 22.89276 22.87285 22.82308 22.84299
q)3 mdev t5
0 0 0 0 0.009385664 0.02930446 0.02045342
q)2 mdev t5
0 0 0n 0 0.009955 0.024885 0.009955
effbiae
November 27, 2016, 10:28am
12
> nulls in mdev result
q)t5:22.89276 22.89276 22.89276 22.89276 22.87285 22.82308 22.84299
q)2 mdev t5
0 0 0n 0 0.00995500001 0.024885 0.00995499999
the 0n occurs due to sqrt of a negative number:
q)mdev
k){sqrt mavg[x;y*y]-m*m:mavg[x;y:“f”$y]}
q){mavg[x;y*y]-m*m:mavg[x;y:“f”$y]}[2;t5]
0 0 -2.273737e-13 0 9.910203e-05 0.0006192632 9.910202e-05
to correct the result, you can fill:
q)0^2 mdev t5
0 0 0 0 0.00995500001 0.024885 0.00995499999