Re: [R] smooth function advice

From: <>
Date: Fri, 31 Oct 2008 18:03:49 +0100

Thanks to Mark Leeds for an implementation of exponentially weighted moving averages as follows which solves this problem. This also resmooths recursively.

ewma<-function(x,lambda = .5, init = (1-lambda)*.raw[good.ind][1],order=1) {
.raw <- unclass(coredata(x))
good.ind <- ! # determine good values if(order>1)

        ewma(ewma(x,lambda,init,order=1),lambda,init,order=order-1) else {

   # work with 'non-zoo' data for speed and then recombine    .raw[good.ind] <- filter(lambda * .raw[good.ind], filter=(1-lambda),

       method='recursive',init=coredata(init))    zoo(.raw, index(x)) # create zoo object for return


Tolga I Uzuner/JPMCHASE
30/10/2008 15:36


smooth function advice

Dear R Users,

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


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        [[alternative HTML version deleted]] mailing list PLEASE do read the posting guide and provide commented, minimal, self-contained, reproducible code. Received on Fri 31 Oct 2008 - 17:24:13 GMT

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