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
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
Any suggestions for a specific approach/package in R ?
Thanks,
Tolga
Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s). All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.
This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
[[alternative HTML version deleted]]
<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 smoothnessFirst 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
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 <- !is.na(.raw) # 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
To
r-help@r-project.org
cc
Subject
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
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
Any suggestions for a specific approach/package in R ?
Thanks,
Tolga
Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s). All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.
This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
[[alternative HTML version deleted]]