[R] smooth function advice
Dieter Menne
dieter.menne at menne-biomed.de
Thu Oct 30 16:59:43 CET 2008
<tolga.i.uzuner <at> jpmorgan.com> writes:
> I am looking for a smoothing function with the following characteristics
> for a time series of data:
> - at each date, should only use data up to that date (so, right aligned
> and not centered)
> - should return a smoothed series of length equal to the original time
> series:
> - for a one-day time series, just returns that day
> - this means the front part of the series will not be as smooth...
> that's ok
> - if the original time series has length 10, the returned smoothed
> time series has length 10
> - there should be some control over smoothness
First order recursive smoother, no package needed
y(0) = x(0)
y(n) = alpha*y(n-1)+(1-alpha)x(n)
Use alpha = 0.95 for a starter; must be < 1.
Dieter
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