> Date: Tue, 27 Mar 2001 22:46:37 +0200
> From: "Karl Christoph Keller" <K.Christoph.Keller at
web.de>
> Subject: [R] Exponential smoothing
>
> Dear all,
>
> is there any function to do exponential smoothing of data in R?
>
> I have searched all documentation (at least I hope I did) and found
> nothing.
>
> I know exp. smoothing is a somewhat old method and better ones exist,
> but I want it for the reason of comparing results.
>
> Greetings
>
> Christoph
>
A simple exponential weighted moving average procedure would be
ewma <- function (x, lambda = 1, init = 0)
{
y <- filter(lambda*x, filter=1-lambda, method="recursive",
init=init)
return (y)
}
Using ewma as a forecast function is known as exponential smoothing.
Try, e.g.:
x <- ts(diffinv(rnorm(100)))
y <- ewma(x,lambda=0.2,init=x[1])
plot(x)
lines(y,col="red")
best
Adrian
--
Dr. Adrian Trapletti, Olsen & Associates Ltd.
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