Iterated Cumulative Sum of Squares

epon79 · August 25th, 2009, 3:53 pm

Hey,Does any one know where I code find code (preferably mathematica) to do iterated cumulative sum of squares?I am trying to detect break points in historic volatility.Thanks

BornToBeTrader · September 9th, 2009, 4:08 pm

You can find code in R and Matlab more commonly. Exactly which type of statistic are you trying to code?

MCarreira · September 22nd, 2009, 12:37 am

You'll probably use FoldList at some point. It'd be helpful if you described exactly the calculation you need.