[R] Exponentially Weighted Moving Average

davidr at rhotrading.com davidr at rhotrading.com
Tue Jul 3 15:42:14 CEST 2007

You could use rollFun from fMultivar package.
You need to define your EWMA function separately.
(Usually the EWMA moves along with a constant window size, though ....)

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
312-244-4610 direct
312-244-4500 main
312-244-4501 fax

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of livia
Sent: Tuesday, July 03, 2007 5:51 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Exponentially Weighted Moving Average

Hi, I have got a series of data "x" and some parameter "a", and I would
to take some Exponentially Weighted Moving Average to the data in the
following fomula, and obtain the return series y






Could anyone give me some advice how can I achieve this?
Many thanks

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