View source: R/overlapping_data.R

calc_sd_ol_bias_fac | R Documentation |

When overlapped data is used, the sample variance and standard deviation are biased.
This function calculates a factor that corrects for the bias in the sample standard deviation.
It assumes Bessel's correction
has already been applied in the calculation of the sample
standard deviation and removes this to avoid double-counting.
In practice this means this factor can be applied to the results of `sd`

.

calc_sd_ol_bias_fac(N, noverlap)

`N` |
The number of overlapped data points.
There will be |

`noverlap` |
The extent of the overlap, e.g. 12 means annual overlaps from monthly data. 1 means no overlap. |

The factor is derived in a
2009 Risk.net article
by Sun, Nelken et al. Where `noverlap == 1`

the factor is 1 and has no numerical effect.

A factor to multiply the sample standard deviation by to give an unbiased estimate.

https://www.risk.net/risk-management/1509219/error-var-overlapping-intervals

calc_sd_ol_bias_fac(c(24, 60, 120, 180, 240), 12)

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