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I am using moving window technique for data analysis...

For example I compute the mean, the standard deviation and etc. for a given window.

And I wonder if there's any good criterion to determine window size...

I thought of computing multivariate variance of mean, sd, and etc. and

select the window size that minimize the variance...

But for the most of cases, the longer the window size, the smaller the variance...

So I am stuck... Is there any criterion that can solve the problem of determine the

window size or I have to go with my eyes and pick one that best entertain my eyes?