[R] algebra/moving average question - NOTHING TO DO WITH R

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Fri Jul 6 20:48:09 CEST 2007

This has ABSOLUTELY nothing to do with R but I was hoping that someone
might know because there are obviously a lot of very bright people on
this list.

Suppose I had a time series of data and at each point in time t, I was
calculating x bar + plus minus sigma where x bar was based on a 
moving window of size n and so was sigma.

So, if I was at time t , then x bar t plus minus sigma_t would be based
on the values of x_t-n+1 through x_t.
This is the hard part : Is there a way to back out what the next
value(s), x_t+1 would have to be in order to for that value to
be either 

greater than  x bar_t+1 plus Z*sigma_t+1 


less than  x bar_t+1 plus minus Z*sigma_t+1. 

where Z is whatever constant ?

I started to try to figure this out but the data window changes and the
x bar is in the formula for sigma so the algebra got overwhelming but I
was never an algebra whiz. thanks.

This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

More information about the R-help mailing list