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Moving/Rolling Window Statistics

What inspired this wish list request? 

I frequently use moving (rolling) fixed size window statistics that can be computed independently for an asset (byVar) for a number of X variables over a datetime ordered data. In my analysis, a predictive quality model has not only select important X's but also a datetime cycle where the effects are most significant from to distinguish normal from abnormal assets. 

 

What is the improvement you would like to see? 

A version of these exist in formula stack as Col moving average. I like the ability to add many other statistics using formulas (and not scripts). 

I like the following moving statistics be available simply from formulas

these include (but not necessarily limited to) ..

 

moving specific quantiles (wish list from https://community.jmp.com/t5/JMP-Wish-List/Col-Moving-Quantile-function/idi-p/321573

moving stdev

moving slopes

moving non parametric Kendall Tau statistic

one could imagine moving any statistic

 

 

Why is this idea important? 

 

Without the formula functionality, I need to go back to a scripting to recall how to do this every single time I need it. I think one of the main strengths of JMP is being  one of the easiest tool/platform to offer advanced statistics & modeling . Formulas is a great way to keep carrying the notion of "easiest". I can script but I prefer not to. 

1 Comment
Sextus
Level II

The proposed function would be very (!) useful, for example for the analysis of time series.  I would let the user determine the span of the window and the step.  Moving any statistic function sounds great.  Would it be possible to include a user-defined function?