Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Sequence-Statistics-tp147p148.html
On Fri, 2011-06-24 at 09:44 +0200, simone pilozzi wrote:
> I was wondering if there's a rapid method to update a sequence
> statistic.
> The purpose is to compute a covariance matrix from a dataset of time
> series using a "rolling window" with constant length and floating
> start/end date.
> It would be then helpful to start with an initial dataset of n time
> series and, at each step, add the new observation and drop the
> last ,instead of recreate the sequence statistics object from scratch.
> Is it feasible? Or does it exist another "smart" solution?
No, sorry. SequenceStatistics doesn't provide the means to remove a
datum or update its weight, so it can't be used this way. It does make
sense for your use case to have a statistics class working the way you
describe, but you'll need either to modify the existing class or write a
new one.
Luigi
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