MATLAB: Running standard deviation on matrix with NaN values

statistics

Hello, I have large matrix where each row represents time series for one location. I need to get equally sized matrix containing running standard deviation along the row dimension. There are several function to do this but none allows for NAN values. My time series includes a large amount of gaps and I can not interpolate the data. I would appreciate any suggestions. Thank you

Best Answer

function SD = nanstdrow(X)
% NANSTDROW - SD per row ignoring NaNs
tf = ~isnan(X) ; % non-nan values
X(~tf) = 0 ; % set NaN values to zero so they do not contribute to the mean
N = sum(tf,2) ; % number of elements per row
M = sum(X,2) ./ N ; % average of row
D = (X - repmat(M,1,size(X,2))).^2 ; % squared difference with mean
SS = sum(tf .* D,2) % row sum 
SD = sqrt(SS./N) ; % calculate SD per row
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