running_weighted_var {diagis}

Running weighted variance of a vector

Description

Computes running weighted variance of a vector, returning the values from each step.

Usage

running_weighted_var(x, w, method = c("moment", "unbiased"), na.rm = FALSE)

Arguments

x

A numeric vector or object that can be coerced to such.

w

A numeric vector of non-negative weights. Will be automatically normalised to sum to one.

method

Estimator type, either "moment" (default) or "unbiased", which is unbiased only in case of frequency weights.

na.rm

If TRUE, NA values in x (and corresponding weights in w) are omitted from the computation. Default is FALSE.

Value

A vector containing the recursive weighted variance estimates.