search for: ewma

hi, Could anyone help me in solving the following error: I have 5 stocks returns data (returns) EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the covariance matrix for each t lambda = 0.94 S<-cov(returns) # initial (t=1) covariance matrix EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the variances and covariancefor (i in 2:T) { # loop thoug...

Hello, I would like to use the function EWMA() in the fMultivar Package and I have a series of data x, which is the returns series. Basically, I would like to get the variance estimation using EWMA. I am trying something like EWMA(x, lambda) and I have a couple of questions: Should x be the returns series or price series in my case? When...

So for mergeable bufs, we use ewma machinery to guess the correct buffer size. If we don't guess correctly, XDP has to do aggressive copies. Problem is, xdp paths do not update the ewma at all, except sometimes with XDP_PASS. So whatever we happen to have before we attach XDP, will mostly stay around. The fix is probably to up...

So for mergeable bufs, we use ewma machinery to guess the correct buffer size. If we don't guess correctly, XDP has to do aggressive copies. Problem is, xdp paths do not update the ewma at all, except sometimes with XDP_PASS. So whatever we happen to have before we attach XDP, will mostly stay around. The fix is probably to up...

I have the ewma function as shown below. I think I copied it from an oldSplus help page on filter and then modified it with a lot of help from Achim. ewma<-function(x,lambda = 1, init = x[1]) { rval<-filter(lambda*coredata(x),filter=(1-lambda),method="recursive",ini t=init) rval<-zoo(coredata(...

Hi All, I have 5 stock values and i am calculating EWMA followed the logic as given ind following link.[ http://www.orecastingfinancialrisk.com/3.html<http://www.forecastingfinancialrisk.com/3.html> ] library('tseries') returns[,1]<-returns[,1]-mean(returns[,1]) returns[,2]<-returns[,2]-mean(returns[,2]) returns[,3]<-returns[,3]-...

...idask is a zoo object but with a "frequency" so it's not the same structure as the original actual diff and this really causes things to blow up in later code. i'm sure gabor and achim know what to do but in the case that they are not around, would someone else know ? the code for ewma is below the structure of rollmeandifflogbidask in the case that someone wants to run it themselves. thanks a lot. #----------------------------------------------------------------------- ----------------------------------------------------------- actualdiff<-structure(c(-1.45571955822987e-06,...

Hello, I need to calculate a moving average and an exponentially weighted moving average over a fairly large data set (500K rows). Doing this in a for loop works nicely, but is slow. ewma <- data$col[1] N <- dim(data)[1] for(i in 2:N){ data$ewma <- alpha * data$ewma[i-1] + (1-alpha) * data$value[i] } Since the moving average "accumulates" as we move through the data, I'm not sure on the best/fastest way to do this. Does anyone have any suggestions on how...

here''s the output : # tc -s -d class show dev eth0 class cbq 1: root rate 10Mbit cell 8b (bounded,isolated) prio no-transmit/8 weight 10Mbit allot 1514b level 2 ewma 5 avpkt 1000b maxidle 23us Sent 294 bytes 7 pkts (dropped 0, overlimits 0) borrowed 0 overactions 0 avgidle 605 undertime 0 class cbq 1:10 parent 1:1 leaf 10: rate 100Kbit cell 8b prio 1/1 weight 100Kbit allot 1600b level 0 ewma 5 avpkt 1000b maxidle 23us Sent 12274 bytes 203 pkts (dropped...

Sorry, forgot to Cc Michael and the virt list - patch reproduced below in full. johannes >From 22500fbcf722748fe3471b2e4c6156db47aade15 Mon Sep 17 00:00:00 2001 From: Johannes Berg <johannes.berg at intel.com> Date: Wed, 19 Aug 2015 09:25:18 +0200 Subject: [PATCH] virtio_net: use DECLARE_EWMA Instead of using the out-of-line EWMA calculation, use DECLARE_EWMA() to create static inlines. On x86/64 this results in no change in code size for me, but reduces the struct receive_queue size by the two unsigned long values that store the parameters. Signed-off-by: Johannes Berg <johannes.b...

Sorry, forgot to Cc Michael and the virt list - patch reproduced below in full. johannes >From 22500fbcf722748fe3471b2e4c6156db47aade15 Mon Sep 17 00:00:00 2001 From: Johannes Berg <johannes.berg at intel.com> Date: Wed, 19 Aug 2015 09:25:18 +0200 Subject: [PATCH] virtio_net: use DECLARE_EWMA Instead of using the out-of-line EWMA calculation, use DECLARE_EWMA() to create static inlines. On x86/64 this results in no change in code size for me, but reduces the struct receive_queue size by the two unsigned long values that store the parameters. Signed-off-by: Johannes Berg <johannes.b...

Hello, I would like to use the Exponential Weighted Moving Average procedure to get the variance. Is there any R function for doing this? Many thanks. -- View this message in context: http://www.nabble.com/EWMA-procedure-to-forecast-variance-tf4018317.html#a11412324 Sent from the R help mailing list archive at Nabble.com.

Hi, I've been searching for a solution to this but have come up empty. I would like to suppress the plot creation when using the ewma function in the qcc package. Normally it's just plot = FALSE, but the ewma function doesn't have this option. Anything I'm missing or a work around? Many thanks, Brian Francis Statistician II Charles River Laboratories

To ensure ewma_read() without a lock returns a valid but possibly out of date average, modify ewma_add() by using ACCESS_ONCE to prevent intermediate wrong values from being written to avg->internal. Suggested-by: Eric Dumazet <eric.dumazet at gmail.com> Signed-off-by: Michael Dalton <mwdalton at goo...

Hi, I would like to apply the following function for i between 1 and 12, and then construct a list of the return series. for (i in 1:12){ ewma[i] <- emaTA(calm[[i]]^2,0.03) standard[i]<- calm[[i]]/sqrt(ewma[i]) standard <- cbind(standard[i]) } But it does not work. Could anyone give me some advice how can I achieve this? Many thanks -- View this message in context: http://www.nabble.com/Loop-and-cbind-tf4024291.html#a11430500 S...

Commit ab7db91705e9 ("virtio-net: auto-tune mergeable rx buffer size for improved performance") introduced a virtio-net dependency on EWMA. The inclusion of EWMA is controlled by CONFIG_AVERAGE. Fix build error when CONFIG_AVERAGE is not enabled by adding select AVERAGE to virtio-net's Kconfig entry. Build failure reported using config make ARCH=s390 defconfig. Signed-off-by: Michael Dalton <mwdalton at google.com> --- dr...

Commit ab7db91705e9 ("virtio-net: auto-tune mergeable rx buffer size for improved performance") introduced a virtio-net dependency on EWMA. The inclusion of EWMA is controlled by CONFIG_AVERAGE. Fix build error when CONFIG_AVERAGE is not enabled by adding select AVERAGE to virtio-net's Kconfig entry. Build failure reported using config make ARCH=s390 defconfig. Signed-off-by: Michael Dalton <mwdalton at google.com> --- dr...

I am attempting to run a Poisson EWMA model using Patrick Brandt's source code. I get the following error when I run the code: Error in dimnames(x) <- dn : length of 'dimnames' [1] not equal to array extent Dimnames(x) looks like this: [[1]] NULL [[2]] [1] "mip" "div" "nom&quo...

...g (lower is better): native: [root at virtlab17 ~]# ping -c 1000000 -f -q 21.1.50.4 PING 21.1.50.4 (21.1.50.4) 56(84) bytes of data. --- 21.1.50.4 ping statistics --- 1000000 packets transmitted, 1000000 received, 0% packet loss, time 73624ms rtt min/avg/max/mdev = 0.047/0.061/1.253/0.036 ms, ipg/ewma 0.073/0.097 ms vhost: [root at virtlab17 ~]# ping -c 1000000 -f -q 20.1.50.4 PING 20.1.50.4 (20.1.50.4) 56(84) bytes of data. --- 20.1.50.4 ping statistics --- 1000000 packets transmitted, 1000000 received, 0% packet loss, time 92308ms rtt min/avg/max/mdev = 0.064/0.080...

...g (lower is better): native: [root at virtlab17 ~]# ping -c 1000000 -f -q 21.1.50.4 PING 21.1.50.4 (21.1.50.4) 56(84) bytes of data. --- 21.1.50.4 ping statistics --- 1000000 packets transmitted, 1000000 received, 0% packet loss, time 73624ms rtt min/avg/max/mdev = 0.047/0.061/1.253/0.036 ms, ipg/ewma 0.073/0.097 ms vhost: [root at virtlab17 ~]# ping -c 1000000 -f -q 20.1.50.4 PING 20.1.50.4 (20.1.50.4) 56(84) bytes of data. --- 20.1.50.4 ping statistics --- 1000000 packets transmitted, 1000000 received, 0% packet loss, time 92308ms rtt min/avg/max/mdev = 0.064/0.080...