RollingVar

Description

The RollingVar class calculates the variance of data within a moving window. It provides a measure of the spread of values within each window, capturing the extent of variation over time.

Initial values: The constructor requires a positive integer window_size parameter to define the rolling window.
NaN handling: NaN values are not handled natively and should be preprocessed if necessary.

Usage Example and Plot

Implementation Details

Algorithm

RollingVar implements cyclic buffers to accumulate windowed statistics.

Complexity

• Time Complexity: O(log(1)) per new element due to the insertion and deletion operations in the heaps.

• Space Complexity: O(window_size), as only elements within the current window are stored.