How do I implement the standard deviation of the standard deviation in MATLAB?

3 次查看（过去 30 天）

Glazio 2017-7-1

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/347039-how-do-i-implement-the-standard-deviation-of-the-standard-deviation-in-matlab

评论： Image Analyst 2017-7-19

Are there in MATLAB already predefined functions to calculate the standard deviation of the standard deviation or the standard deviation of the average standard deviation?

(use Matlab R2012a)

采纳的回答

Image Analyst 2017-7-1

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/347039-how-do-i-implement-the-standard-deviation-of-the-standard-deviation-in-matlab#answer_272625

在 MATLAB Online 中打开

You simply use std() again on the whole group (vector or matrix) of standard deviations that you have.

stdOfGroup = std(individualStDevs);

The standard deviation of the standard deviations will give you the correct result. It will give you the standard deviation of the standard deviations. What Star was showing was that this does not give you the standard deviation of the combined populations. But after your explanation I don't think you're after that.

You have a Monte Carlo simulation and it gives some output. Let's call it y. Now if you run the simulations lots of times, y will be different each time. If you plot y versus "number of runs" you might find y to be highly variable (high st dev) for low number of runs but y settles down to a "steady state" as the number of runs increases. So, say for less than a thousand runs, y might be 1000 +/- 200, but for a million runs y might be 1000 +/- 50, and for 10 million runs you might find y = 1000 +/- 10. So stdev decreases from 200 to 50 to 10 as the number of experiments/runs/trials increases from a thousand to ten million.

So what you might want to do is to plot y vs. number of runs and plot std(y) vs. # runs. You might have a funnel shaped scatterplot and you will probably observe how the width of the scatter decreases with number of runs. The y funnel will settle down to the steady state mean of y while the stdev funnel will settle down to 0 eventually (hopefully but not necessarily). So how do you decide on the number of runs to use? You could do a moving mean with moveman() or conv() and see where the mean of this scatter plot levels out. Or you could use movstd() or stdfilt() to get a measure of the "width" of the funnel by using it's standard deviation. So if your stddev funnel starts at 50 and narrows down towards zero, you might somewhat arbitrarily say a std dev of std of 5 (a funnel envelope width of 5) is good for you, then you just see how many runs that corresponds to.

Glazio 2017-7-19

@Image Analyst: Thank you, yes I think I have exchanged the terms with each other.

If I now plot the standard error of the mean against the number of runs, the graph settles down to 0 (after 500 runs).

If I now plot the mean value against the number of runs, the graph does not settle down to a steady state. There are always slight fluctuations.

Image Analyst 2017-7-19

Yep, sounds right.

请先登录，再进行评论。

类别

Signal Processing Signal Processing Toolbox Transforms, Correlation, and Modeling Correlation and Convolution

在 Help Center 和 File Exchange 中查找有关 Correlation and Convolution 的更多信息

产品

MATLAB and Simulink Student Suite

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by

How do I implement the standard deviation of the standard deviation in MATLAB?

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

采纳的回答

14 个评论
显示 12更早的评论隐藏 12更早的评论

更多回答（0 个）

另请参阅

类别

标签

产品

Community Treasure Hunt

How do I implement the standard deviation of the standard deviation in MATLAB?

0 个评论 显示 -2更早的评论隐藏 -2更早的评论

采纳的回答

14 个评论 显示 12更早的评论隐藏 12更早的评论

更多回答（0 个）

另请参阅

类别

标签

产品

Community Treasure Hunt

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

14 个评论
显示 12更早的评论隐藏 12更早的评论