search for: ewmas

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2013 Jul 17
2
EWMA error
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
2007 Jul 03
2
EWMA in fMultivar
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 I get the result, there are the same numbers of data
2020 May 06
4
performance bug in virtio net xdp
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 update ewma unconditionally. -- MST
2020 May 06
4
performance bug in virtio net xdp
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 update ewma unconditionally. -- MST
2006 Dec 11
1
behavior of ewma function
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(rval),index(x)) rval } It sort of works but , if there are NA values in the input
2013 Jul 26
1
number of items to replace is not a multiple of replacement length
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]-mean(returns[,3])
2006 Nov 03
1
as.zoo behavior (
hi all : the code pasted below runs but then, a dput on rollmeandifflogbidask gives me what is below the code. the structure of rollmeandifflogbidask 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
2011 Sep 02
2
Avoiding for Loop for moving average
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,
2002 Oct 15
1
Réf . : Re: trying to use wondershaper on a dedicated line (not adsl)
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
2015 Aug 19
0
[PATCH 1/4] virtio_net: use DECLARE_EWMA
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
2015 Aug 19
0
[PATCH 1/4] virtio_net: use DECLARE_EWMA
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
2007 Jul 03
1
EWMA procedure to forecast variance
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.
2007 May 16
0
suppress plot w/ ewma function from qcc pkg
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
2014 Jan 16
0
[PATCH net-next v4 5/6] lib: Ensure EWMA does not store wrong intermediate values
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 google.com> --- lib/average.c | 6 ++++-- 1 file changed, 4 insertions(+), 2
2007 Jul 04
2
Loop and cbind
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:
2014 Jan 17
2
[PATCH net-next] virtio-net: fix build error when CONFIG_AVERAGE is not enabled
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:
2014 Jan 17
2
[PATCH net-next] virtio-net: fix build error when CONFIG_AVERAGE is not enabled
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:
2011 Apr 20
1
Error in dimnames(x) for Poisson EWMA model
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" "unity" "mood"
2009 Aug 24
1
vhost net: performance with ping benchmark
At Rusty's suggestion, I tested vhost base performance with ping. Results below, and seem to be what you'd expect. I'm working on TSO support, expect results shortly. latency with ping (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,
2009 Aug 24
1
vhost net: performance with ping benchmark
At Rusty's suggestion, I tested vhost base performance with ping. Results below, and seem to be what you'd expect. I'm working on TSO support, expect results shortly. latency with ping (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,