`movmad`

Moving median absolute deviation over a sliding window.

Category: Data Import and Analysis > Preprocessing Data

Syntax

M = movmad(A, wlen)

Median absolute deviation over a window of wlen elements centered on each element.

M = movmad(A, [nb na])

Window of nb elements before and na after the current one, plus the element itself.

Description

Inside each window the function computes median(abs(x - median(x))). This is a robust measure of spread: a single wild value in the window hardly changes it, which makes movmad better than movstd for noisy data with spikes.

Windows shrink at the ends of the data.

Input arguments

A: Vector or matrix; operates along the first non-singleton dimension.
wlen: Window length. For an even length the window is centered between elements, with one more element before than after.

Output arguments

M: Array of the same size as A.

Example

Robust rolling spread

x = [1 2 3 10 5];
movmad(x, 3)

Output

ans = 1×5

    0.5000    1.0000    1.0000    2.0000    2.5000

movmad